【摘要】：由于各種因素,農(nóng)產(chǎn)品的現(xiàn)貨價(jià)格波動(dòng)頻繁,導(dǎo)致那些對(duì)農(nóng)產(chǎn)品有大量需求的企業(yè)面臨著巨大的由于農(nóng)產(chǎn)品價(jià)格波動(dòng)引起的市場(chǎng)風(fēng)險(xiǎn)。因此這些企業(yè)急需利用農(nóng)產(chǎn)品期貨進(jìn)行套期保值,以達(dá)到規(guī)避或轉(zhuǎn)移現(xiàn)貨價(jià)格風(fēng)險(xiǎn)的目的。因?yàn)榛铒L(fēng)險(xiǎn)的存在,利用傳統(tǒng)的套期保值策略(套期保值比率為1)來規(guī)避現(xiàn)貨價(jià)格風(fēng)險(xiǎn)的效果并不顯著。為了更有效的規(guī)避現(xiàn)貨價(jià)格風(fēng)險(xiǎn),這些企業(yè)有必要采取比例套期保值策略。此時(shí),如何確定套期保值比率便成為了這些農(nóng)產(chǎn)品企業(yè)最為關(guān)心的問題。 于是,為了解決套期保值比率的問題,本文選擇了農(nóng)產(chǎn)品中最具代表性的玉米作為研究對(duì)象。首先,本文選擇了大連商品交易所公布的玉米期貨價(jià)格和天琪期貨網(wǎng)站公布的玉米現(xiàn)貨價(jià)格作為樣本數(shù)據(jù)。其次,本文對(duì)樣本數(shù)據(jù)進(jìn)行了統(tǒng)計(jì)檢驗(yàn),檢驗(yàn)結(jié)果顯示期貨價(jià)格和現(xiàn)貨價(jià)格均為非平穩(wěn)序列,而且兩個(gè)序列之間存在協(xié)整關(guān)系,并且存在ARCH效應(yīng)。再次,在進(jìn)行了統(tǒng)計(jì)檢驗(yàn)的基礎(chǔ)上,考慮到交易成本的因素,選用了誤差修正模型(VEC)來估計(jì)玉米期貨和現(xiàn)貨的套期保值比率。最后,針對(duì)此套期保值比率到底能降低多少風(fēng)險(xiǎn)的問題,本文對(duì)估計(jì)出的套期保值比率進(jìn)行了績(jī)效評(píng)估。 本文的研究結(jié)果為：樣本數(shù)據(jù)中期貨價(jià)格和現(xiàn)貨價(jià)格的套期保值比率為0.794,也就是說,如果持有一份玉米現(xiàn)貨頭寸,可以購買0.794份玉米期貨頭寸進(jìn)行套期保值。本文中的套期保值策略相對(duì)于不進(jìn)行套期保值時(shí)可減少75.4%的風(fēng)險(xiǎn),相對(duì)于進(jìn)行等比例套期保值時(shí)可減少39.4%的風(fēng)險(xiǎn)。研究結(jié)果表明,我國玉米企業(yè)非常有必要利用玉米期貨進(jìn)行套期保值,而且比例套期保值效果明顯優(yōu)于傳統(tǒng)套期保值(套期保值比率為1)。
[Abstract]:Due to various factors, the spot price of agricultural products fluctuates frequently, which leads to a huge market risk caused by the fluctuation of agricultural product prices for those enterprises that have a large demand for agricultural products. Therefore, these enterprises urgently need to use agricultural futures to hedge in order to avoid or transfer the spot price risk. Because of the existence of base risk, the effect of using traditional hedging strategy (hedging ratio is 1) to avoid spot price risk is not significant. In order to avoid the spot price risk more effectively, these enterprises need to adopt the proportional hedging strategy. At this time, how to determine the hedge ratio has become the most concerned about these agricultural enterprises. Therefore, in order to solve the problem of hedging ratio, the most representative corn in agricultural products is chosen as the research object. Firstly, this paper chooses the corn futures price published by Dalian Commodity Exchange and the spot corn price published by Tianqi Futures website as sample data. Secondly, this paper makes a statistical test on the sample data. The results show that the futures price and spot price are both non-stationary series, and there is a cointegration relationship between the two sequences, and there is a ARCH effect. Thirdly, on the basis of statistical test, considering the factors of transaction cost, the error correction model (VEC) is used to estimate the hedge ratio of corn futures and spot. Finally, aiming at the problem of how much risk can be reduced by the hedge ratio, this paper evaluates the performance of the estimated hedge ratio. The results of this study are as follows: the hedging ratio of futures price to spot price in the sample data is 0.794, that is to say, if we hold a spot position of corn, we can buy 0.794 corn futures positions for hedging. The hedging strategy in this paper can reduce the risk by 75.4% compared with that without hedging and by 39.4% compared with the equal proportion hedging. The results show that it is very necessary for Chinese corn enterprises to use corn futures for hedging and the effect of proportional hedging is obviously better than that of traditional hedging (the hedge ratio is 1).
【學(xué)位授予單位】：五邑大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F323.7;F724.5

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