【作者】 李建良；

【导师】 张宗成；

【作者基本信息】 华中科技大学 ， 数量经济学， 2010， 博士

【摘要】 本文基于中国商品期货市场风险管理机制这一核心问题,结合我国商品期货市场发展的客观实际,从我国商品期货市场系统性风险防范、期货市场投资者风险防范、期货交易所风险防范以及市场风险预警四个方面出发,研究我国商品期货市场价格波动下的市场风险度量、投资者最优套期保值比的确定、期货交易所合理的保证金水平的设置、以及利用影响我国商品期货市场价格波动的因素建立风险预警模型等多个问题。我国经济的高速发展对重要的商品资源如粮食、有色金属等的需求日渐增多,大宗商品价格的剧烈波动导致商品市场充斥着巨大的风险,合理的防范期货市场风险迫在眉睫。由于我国期货市场发展不成熟,且均为商品期货,风险分散功能不强,造成期货风险事件屡屡发生,市场风险管理已成为我国商品期货市场健康发展的核心内容之一,有关商品期货市场风险问题的研究具有重大的现实意义。随后,本文对国内外有关期货市场风险度量、套期保值以及保证金设置等的相关文献进行了回顾与总结,在此基础上,阐述了本文的研究思路和创新所在。本文对我国商品期货市场风险的特征进行了分析,并对我国商品期货市场风险进行了实证检验,以此为后续研究我国商品期货市场风险的防范做铺垫。首先对中国商品期货市场的发展进行了概述,主要从三个阶段阐述我国商品期货市场的发展历程。随后分析了我国商品期货市场的特点、市场风险成因等问题,并对近几年来我国商品期货市场发生的主要风险事件进行了概述。在此基础上,利用我国商品期货市场主要期货品种的相关数据,对期货价格波动的特征进行了实证检验,研究表明我国商品期货价格的波动具有较强的积聚性和杠杆效应,此外对我国期货市场的分析特征进了市场分析,利用R/S方法实证研究表明我国商品期货市场沪铜、连豆以及郑麦的Hurst指数均不等于0.5,证实了我国期货市场分形结构特征和市场风险的存在。通过对期货市场风险进行度量,探讨我国商品期货市场系统性风险防范问题。本文对市场风险度量模型进行了简要的回顾,并提出了本文度量期货价格波动的理论模型-修正的VaR计算模型。VaR方法当前已经成为国际上通行的最重要的风险测量工具之一,并在度量市场风险中的具有良好的表现,本文引入VaR方法并运用GARCH类模型与极值理论(EVT)对我国商品期货市场风险进行了度量。由于在99%的置信水平下,基于GARCH-GED模型估计的VaR值对市场风险估计不足,而GPD模型下的VaR值又存在高估市场风险的现象,由此本文结合GARCH-GED模型和GPD模型构建了修正的VaR计算模型,实证表明基于修正的VaR值能够很好的度量我国期货市场风险。投资者是期货市场的主体,防范期货市场风险投资者主要依靠套期保值,本文基于确定最优套期保值比是投资者防范期货市场风险的重要途径,主要围绕如何求解最优套期保值比(Optimal Hedge Ratio)这一关键问题展开。首先分析了期货市场套期保值的涵义,并对有关套期保值风险的研究进行了简要的概述。在此基础上,利用传统的Ederington回归模型、现期货价格具有协整关系的误差修正(ECM)模型,以及具有时变最优套期保值比的状态空间模型和Kalman滤波估计等方法,实证测度了我国铜期货的最优套期保值比,研究表明本文基于状态空间模型的套期保值比卡尔曼滤波估计能有效的提高套期保值的效果,从而能更好的为投资者防范期货市场风险。期货交易所和期货公司防范市场风险主要通过保证金作用的发挥,因此确定合理的保证金水平,能有效的提高期货交易所和期货公司防范期货市场风险的能力,因此本文主要分析我国商品期货市场保证金的设置问题。首先对保证金制度以及我国商品期货市场的保证金现状进行了阐述,在此基础上,通过预期的GK方程对保证金调整与期货市场波动性之间的关系进行了实证检测。其次本文拟引入EWMA模型来对我国商品期货市场合理的保证金水平进行了实证测度。EWMA模型最关键的是确定合适的衰减因子λ,而当前λ的确定主要是以RMSE最小化准则,本文试图通过寻找多种衰减因子确定的方式求解最优保证金水平。实证结果表明我国期货市场现行的保证金的制度有待进一步改进,主要表现在收取的保证金整体偏高、各个期货品种保证金收取的方式没有差异性,当前我国的保证金设置方式和水平加大了投资者的市场成本,本文提出了我国期货市场合理的保证金水平。全方位、多角度的监测影响我国商品期货市场价格波动的因素,建立市场风险预警模型是防范市场风险的重要途径。本文主要利用影响我国商品期货市场风险的因素,对我国商品期货市场风险的预警管理进行了初步的探讨。通过一定的原则和方法,选取影响我国商品期货价格波动的多个因素,构建了体现我国商品期货市场风险的指标体系。在此基础上利用因子分析的方法,确定了影响我国商品期货市场风险的主要因子,再利用Logistics模型对我国商品期货的市场风险进行了预测,实证表明本文构建的风险预警模型能有效的预防我国商品期货的市场风险,具有一定的实践价值。最后,本文从两个方面对本文的研究进行了总结,首先是对本文研究的主要内容和结论进行了阐述。其次,对本文的研究的不足之处进行了分析,并对本文的进一步研究进行了展望。更多还原

【Abstract】 In this paper,based on the core issue that risk management mechanism of China’s commodity futures market, From the beginning of systemic risk prevention, investor risk prevention, futures exchange risk prevention,and risk warning,to analysis of four themes: price volatility risk measure, determination of the optimal hedging ratio, set a reasonable level of margin, risk warning model construction.This paper is divided into seven chapters, the main contents and conclusions of each chapter are described as follows.The introduction mainly talking about the research background and significance. At present, China’s futures market all are commodity futures, along with rapid economic development, on the growing demand for key commodities such as food, non-ferrous metal,etc, the whole market is full of great risks as the price volatility in recent years, therefore,play the futures market hedging and price discovery role is very important.However, China’s futures market is immature, the risk has occurred frequently, risk management has become one of the core for the healthy development of China’s commodity futures market.So, research commodity futures market risk problem has positive significance. Then,the studies about the risks of commodity futures markets at home and abroad, the technology courses and innovation of this article are reviewed and summarized.In this paper analyzes the development of China’s commodity futures market and the market risk. and using data of the main futures to empirical analysis the price fluctuations of China’s commodity futures market. The study suggests that the volatility of commodity prices in China’s futures market have the ARCH effect and leverage effect, and confirmed the commodity futures market in China has great market risk.Analyzes the issue of systemic risk prevention, and measure the risk in the futures market measure.First analyzes the risks aboute the price forecasting, and then introduced a variety method of measuring price volatility. Currently VaR has become the internationally accepted methods of the most important risk measurement tools, introduction of VaR methods and use of GARCH type models and extreme value theory(EVT) to measure China Commodity Futures Market risk. As the VaR-GARCH-GED model underestimated the risk, VaR-GPD model overestimated the risk under 99%confidence level, Therefore, this paper use GARCH-GED model and GPD model calculation the modified VaR, empirical research indicates that the value of using a modified VaR can be a good measure of China’s futures market risk.Analyzes the market risk prevention of investor, the optimal ratio is one of the most important ways to reduce the risk of futures market. So this chapter on how to solve the key issue of the optimal hedge ratio. First analyzes the meaning and risk of hedging, and then summarizes the studies of hedging. On this basis, using Ederington regression model (OLS model), ECM model and State space model (Sspace)and Kalman filter estimation, empirical measurement the optimal hedging ratio of copper futures, studies show that hedging of State space model and Kalman filter can effectively improve the effect of hedging.Futures exchanges and futures companies to avoid market risk mainly through margin setting, so to determine a reasonable level of margin, can effectively improve the ability to avoid the risk of the futures market of the futures exchanges and futures companies, so this chapter analysis of the issue of margin setting of commodity futures market. First analyzes China’s commodity futures markets margin, and empirical testing the relationship between margin adjustment and futures market volatility through expected GK equation. This chapter under the form of different distributions of EWMA model to determine the level of China’s futures market margin. The key of EWMA is to determine the appropriate decay factor(λ), the traditional method is based on minimizing the RMSE, however, in his paper decay factor will be determined through a variety of ways. In addition, a comparative study based on the normal distribution and Laplace distribution of the EWMA model, Evidence shows that EWMA model based on Laplace distribution can effectively determine margin level of China commodity futures market.Comprehensive, multi-angle monitor the factors of impact the price volatility of China’s commodity futures market, and establishment of early warning market risk model is an important way to avoid market risks. This chapter is a comprehensive analysis to establish a risk early warning model.Selected a number of factors through certain principles and methods,and then build the risk index system to reflects the risk of China commodity futures market. On this basis, using factor analysis method, select the main factor to analysis the risk of China commodity futures market risks,and then using Logistics model to predict the risk. Empirical evidence shows that the risk of early-warning model constructed in this paper can effectively prevent the risk of commodity futures markets, and has some practical value.The final chapter is the end of this article, mainly to illustrate the main contents and conclusions, study shortcomings and further study of this article were discussed.更多还原