沪铜期货套期保值有效性实证研究

摘要

Copper futures have become indispensable pricing and risk management tools for copper industry upstream and downstream enterprises. A growing number of copper enterprises have participated in copper futures hedging. However, the futures' price and spot price are not in parallel motion, i.e. the price changes between them are not completely consistent. Therefore, the key of hedging is the determination of its ratio. The article explores and researches 490 futures and spot data from the Shanghai Futures Exchange, estimates the hedging by using OLS model and EMC model, and finally analyzes the estimation results.%铜期货已经成为铜行业上中下游企业不可或缺的定价和风险管理工具，越来越多铜企业参与到了铜期货套期保值中。然而期货价格与现货价格并非平行运动，即它们之间的价格变动不完全一致，因此，套期保值的关键在于套期保值比率的确定。本文从上海期交所选取了490个期货和现货数据进行探讨与研究，主要运用OLS模型、EMC模型对套期保值进行估算，并对估算结果进行了分析。