【作者】 顾攻；

【导师】 王向阳；

【作者基本信息】 华中科技大学 ， 企业管理， 2010， 硕士

【摘要】 价格发现和套期保值是期货市场的两大基本功能,也是期货市场产生和发展的内在动力。套期保值是为了规避或转移现货价格涨跌带来风险的一种方式,目的是为了锁定利润和控制风险。套期保值和投机一般被认为是存在明显区别与界线的。套期保值只为了规避现货价格的涨跌带来的风险,不求通过套期保值获取利润;而投机则完全是为了赚取风险利润。然而,在现实中,套期保值者同样会根据其对趋势的判断和心里承受能力,对套期保值的头寸量做出一定的调整。也就是说,套期保值者在进行套期保值的时候会适当的考虑一定的投机性因素。在进行套期保值的时候,最关键的问题是要选取一个适当的套期保值比率。本文通过分析比较几种传统的最优套期保值比率模型,选择了适合的模型,对其进行了扩展,将套期保值者的个人行为推广到整个市场的表现。并且引入了投资者信心指数的因素,通过实证研究分析了投资者信心指数对于套期保值者的影响情况。综上所述,本文采用理论和实证相结合的方法,深入研究了商品期货市场的套期保值行为。研究结论完善了现有理论,增强了对套期保值行为的理解,有助于套期保值者做出更加适合的决策。更多还原

【Abstract】 Price discovery and hedging are the two basic functions of futures markets, but also the inherent power of futures markets development. Hedging is to avoid or transfer risk to the spot price change as a way designed to lock in profits and control risk. Hedging and speculation generally considered to be obvious differences. Hedging is to avoid the risks of the spot price changes, but speculative is to make a profit. However, in reality, hedgers will also change their hedging positions according to their judgments and risk appetite. That is, hedgers will consider some of the speculation factors when they are making hedging decisions.The main issue of hedging is to select an appropriate hedge ratio. Through analysis and comparison of several traditional model of the optimal hedge ratio, we choose a suitable model, and add a speculation factor to construct a new theoretical model. By derivation, we will analysis the impact of this factor on the hedging decision-making. Finally, we will do empirical research and analysis the impact of speculation factor to the empirical results.In summary, the hedging behavior in the futures markets are systematically studied through academic and empirical analysis methods. This paper enhances the understanding of hedging behavior. It will help hedgers making appropriate decisions.更多还原