套期保值计算模型在中国市场的有效性

运用中国期铜合约数据,计算分析了普通最小二乘回归模型、误差修正模型和多元Garch模型在计算最优套期保值率方面的效果．通过针对不同的套期保值周期进行事前检验及事后检验,研究发现动态调整套期保值率能有效降低组合风险,当套期保值周期较短时,多元Garch模型计算套期保值率较优．同时,计算结果表明中国市场不能很好实现价格发现功能,套期保值效果有限．

Hedge Ratios and Hedging Effectiveness in Chinese Market

With the database of daily Copper futures contracts on Chinese market,optimal hedge ratios are cal- culated applying the ordinary least squares(OLS) regression model,the error-correction model(ECM)and the multivariate Garch model.The hedging effectiveness is measured in terms of ex-post and ex-ante at various hedging horizons.It is proved that the time varying hedge ratios provide more portfolio risk reduction,multivari- ate Garch model performs better only for shorter hedging horizons.Empirical results show the weakness of the function of price discovery in Chinese market,and the hedge effectiveness limit.