中国黄金期货市场套期保值功能实证研究

摘要

Based on the gold futures contract since January 2008 to December 2009 listed by Shanghai Futures Exchange, a total of 82 weekly data, 60 ten-days data, 41 biweekly data and 20 four-weeks data of futures prices and spot prices are analyzed, using the traditional regression model (OLS) , two-variable vector auto regression model ( B-VAR) , error correction hedging model (ECM) and error correction GARCH model (EC-GARCH). The smooth and co-integration relation of the sample data are tested. Based on the estimation of minimum risk hedging ratio and con-sideration of the futures market hedging strategy, the further exploration of the hedging function of gold futures market in China is discussed.%通过对上海期货交易所黄金期货合约上市以来2008年1月至2009年12月共82个期货价格和现货价格的周数据、60个旬数据、41个双周数据和20个四周数据的实证研究,运用传统回归模型(OLS)、双变量向量自回归模型(B- VAR)、误差修正套期保值模型(ECHM)、误差修正GARCH模型(EC-GARCH)对样本数据进行了平稳性和协整关系检验,在估计最小风险套期保值比率以及考察中国期货市场套期保值策略基础上,进一步探索研究了目前中国黄金期货市场套期保值功能的发挥问题.