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国际成品油现货市场的剧烈波动给我国燃料油期货市场功能发挥提出了新的挑战。本文采用了最新的交易数据对我国燃料油期货市场和现货市场进行了实证分析,研究我国燃料油期货市场的套期保值功能。通过比较基差风险和现货价格风险,检验期货价格和现货价格的相关性,讨论期货市场套期保值的效率问题,认为目前我国燃料油期货市场本身并不比现货市场风险小,但在一定程度上发挥了套期保值的功能。通过分析价格走势和基差波动特征,得出我国市场适合使用HKM模型来计算套保比,最后基于HKM模型本文给出了单个合约的最优套保比序列。
The volatility of the international refined oil spot market poses new challenges for the functional development of China’s fuel oil futures market. This paper uses the latest transaction data to make an empirical analysis of China’s fuel oil futures market and spot market to study the hedging function of China’s fuel oil futures market. By comparing the base risk and the spot price risk, the paper examines the correlation between the futures price and the spot price and discusses the efficiency of the hedging in the futures market. He believes that at present, the fuel oil futures market in our country is not a little less risky than the spot market. To a certain extent Played a hedging function. By analyzing the price movements and the fundamental fluctuation characteristics, it is concluded that the Chinese market is fit to use the HKM model to calculate the hedging ratio. Finally, based on the HKM model, the optimal hedging ratio of a single contract is given.