中国玉米期货市场套期保值有效性分析

摘要

为了考察中国玉米期货市场转移价格风险功能发挥的程度，利用中国大连商品交易所的玉米期货结算价格和吉林玉米中心批发市场的大连港口玉米平舱价格等数据，运用国际上比较成熟的简单回归(OLS)模型、向量自回归(VAR)模型、误差修正模型(ECM)和广义自回归条件异方差(GARCH)模型来确定玉米期货套期保值交易的最佳套期保值比率，并采用Ederington的未进行套期保值交易的方差和进行套期保值交易后方差变化的百分比方法来衡量玉米期货套期保值的有效性。结果发现：中国玉米期货市场的转移价格风险功能未能得到有效发挥。%In order to explore the risk transferring performance of Chinese Corn Futures Market, this paper utilizes the futures price of corn from Dalian Commodity Exchange and cash price of corn from Jilin Corn Wholesale Market. The optimal hedging ratio is determined through Orrlinary Least Squares, Vector Autoregression Model, Error Correction Model and General Vector Autoregression Conditional Heteroskedasticity. By means of Ederington's percentage method, the performance of hedging is measured. The results show that the risk transferring function is not realized in China.