中国硬麦和大豆期货市场套期保值绩效的实证研究_王骏.pdf

　2005, 10(4):131 137 Journal of hina Agricultural University 王骏　张宗成　赵昌旭 (, 430074) 　　为了研究中国硬麦和大豆期货市场的套期保值功能, 本文利用确定套期保值比率的OLS、B-VAR、E M 和E -GAR H 四个 型和套期保值绩效的衡量指标, 对上述2 个期货市场的套期保值比率和绩效进行了实证研 究。 结果显示, 硬麦期货和大豆期货 4 周数据的最佳套期保值比率分别是0.28 和0.48, 它们的套期保值绩效分别 是10.27 和 18.85, 都比其1周和 2 周数据的套期保值比率与绩效要高;中国大豆期货市场套期保值比率与绩效要 优于硬麦期货市场。 从 型上看, E M 和E -GAR H 型的套期保值比率和绩效比OLS 和 B-VAR 型要高, 从 样本区间看, 样本区间外的套期保值绩效要优于样本区间内的绩效。 随着全国范围内实施减免农业税政策和其他 “三农”政策的落实, 中国农产品期货市场的套期保值功能将得到更好发挥, 在我国国民经济中将发挥更重要作用。 　中国农产品;期货市场;套期保值比率;套期保值绩效;误差修正 型;广义自回归条件异方差 型 　F 830.9　　　　　1007 4333(2005)04 0131 07　　　　　A Empirical research on hedging performance of Chinas hard wheat and soybean futures market Wang Jun, Zhang Zongcheng, Zhao Changxu (School of Economics, Huazhong Uni ersity of Science and Technology, Wuhan 430074, China) Abstract　Inorder to researchhedgingperformanceof China s hardwheat and soybeanfutures market, this articlewill make useof ordinary least squares, bivariate-vector autoregression, error correctionmechanism and error correction- generalized autoregressiveconditional heteroscedasticity fourhedgingmodelsandmeasurement indextoempirically re- searchthe hedging ratioand performance of the twofutures market.The results of research suggest the four-week s best hedging ratio of hardwheat and soybeanfutures exceedthoseof week and two-weeks , whichseparatelyis 0.28 and 0.48, and the four-week s performanceof hard wheat and soybeanfutures separately is 10.27 and 18.85, which exceedthoseof week andtwo-weeks .The hedgingratioandperformanceof China s soybeanfutures market is supe- riortotheseof hardwheat futures market.From the four models, the hedging ratio and performance of ECM and EC- ARCHexcel thoseof OLS andB-VAR, out-of-sample s hedging