本文把盯市风险引入传统的期货套期保值框架,论证了在考虑盯市风险的情况下,一个关注每日最大亏损值的套期保值者会显著地减少他的期货头寸。在一个中期的套期保值期内,该套期保值者的期货套期保值头寸约为其现货头寸的80%。盯市风险的影响随着套期保值期的延长而缓慢减弱。如果套期保值者关注的是每日平均亏损值,在一个中期的套期保值期内盯市风险的影响极小。 This paper introduces the market-to-market risk into the traditional futures hedging framework and argues that a hedger who pays attention to the maximum daily loss will significantly reduce his futures position when considering the market-to-market risk. During a medium term hedging period, the hedger’s futures hedging position is approximately 80% of its spot position. The effect of the mark-to-market risk slowly declines as the hedging period extends. If the hedger is concerned about the average daily loss, the impact of the market-to-market risk is minimal during a medium term hedging period.