【作者】 王志强；

【导师】 张维；

【作者基本信息】 天津大学 ， 管理科学与工程， 2007， 博士

【摘要】 期现货市场的波动与相关使套期保值理论与实践发展成为必然与可能,正是期货价格与现货价格的波动与相依,使得期货市场简单对冲不但不能规避投资者现货市场风险,反而会增加期货头寸暴露的风险。理论上,投资者的最优套期保值还是其效用函数最大化的过程,本文应用最小方差和最小下偏风险矩两种效用标准,分别对中国铜期货市场最优套期保值率进行理论与实证研究。由于国内期货市场处于初级阶段,市场波动机制频繁变化。本文在借鉴国外研究基础上,率先运用马尔可夫机制转换模型和随机自回归机制转换模型实证计算中国铜期货市场的最小方差套期保值率,并与OLS模型、ECM模型和多元GARCH模型进行实证比较,一般情况下,动态模型优于静态模型,但具体模型的适用要依样本状况确定。本研究增加了最优套期保值率模型选择范围,为套期保值者在市场多变的情况下提供了更多的选择依据。目前国内期货市场尾部相关性研究多集中于描述国内外市场间的尾部相依结构,对期、现货收益序列的尾部相依结构研究的还比较鲜见。本文采用极值理论拟合期、现货市场尾部边缘分布,然后通过Copula函数构建期、现货市场尾部的相依结构。实证分析了中国铜期、现货市场的边缘相依特征。实证分析表明:期、现货市场上下侧表现出非对称相关性特征,下侧相关性明显强于上侧。当投资者的效用函数为损失规避时,下偏风险矩能够刻画此类投资者的效用特征。本文在研究最小下偏风险矩套期保值理论基础上,实证分析了多头和空头套期保值策略。分析表明:由于期、现货市场非对称相关性的影响,在目标收益的下侧,套期保值者可以运用更小的期货合约规避下侧风险,且多头套期保值者能够比空头套期保值者更好的利用期货市场规避下侧风险。本文的研究意义在于:处于初级阶段的中国期货市场将较为频繁的出现极端情况,通过极端相关性研究,为投资者在市场极端情况提供决策支持;另一方面,通过对套期保值率全面系统的比较分析,便于投资者根据自身效用倾向和当前市场状况,选择适宜的套期保值率估计模型。更多还原

【Abstract】 It is the volatility and correlation of spot and future market that result in the development of hedge theory. Just because of the volatility and correlation of spot and future price, the traditional naive hedge cannot reduce the risk but even increase it. In theory, an optimal hedge strategy is based on the expected-utility maximization paradigm. This paper engages academic and practical researches on the optimal hedge ratio of Chinese copper future market with the minimum-variance and minimum-LPM criterion.At the beginning of domestic future market, the market volatility regime changes frequently. In use of aboard MRS model and RCARRS model, the paper experimentally calculates the minimum-variance hedge ratio in Chinese copper future market, and compare with the OLS, ECM and dynamic-Garch models. In general, dynamic model is better than static model, whereas applicability of idiographic model depends on the state of market. Therefore, this paper adds the choice area of the optimal hedge ratio estimated model.At present, the domestic research on the tail correlation is fastened on the tail correlation of domestic and foreign market. It is rare that the research on the tail correlation of spot and future market is. The paper models the tail dependence between spot and futures returns with extreme value theory in Chinese copper market. The above-mentioned analyses indicate that the spot and futures returns on both up and down side show the asymmetric correlations character, and the correlations on the downside are much greater than on the upside.Furthermore, under the notion of loss aversion, as a measure of risk, the low partial moment is feasible to delineate the risk preference. Based on the theory of the mini-LPM hedging, the paper experimentally analyses the optimal hedge strategy of short and long position. The analytic results indicate that the hedgers who hold long positions may be more favorable than that who hold short positions in reducing downside risk.In a word, the research of this paper has following signification. On one hand, since the extreme scenarios may happen frequently in Chinese future market, the extreme correlation researches can help investor to make a decision. On the other hand, a comparative research on hedge ratio can provide some useful information for investors to choose an optimal hedge ratio estimated model.更多还原