IDEAS OF AVERAGE PRICE ON METAL FUTURES HEDGING - EMPIRICAL ANALYSIS BASED ON PROBIT MODEL

摘要

Hedging is a crucial means on the basis of futures market to realize spot risks transfer. This paper starts from the practice of hedging operation of copper smelting enterprises and analyzes defects in current predominated "Metal Balance" pattern of hedging theory. By employing monthly data of copper futures price from 2007 to 2010 in Shanghai Futures Exchange the paper builds a Probit Model and makes a empirical analysis to raise a new idea from the point of average price on hedge operation and positions management.