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价格发现和套期保值是期货市场的两大重要功能。本文首先利用协整分析、格兰杰因果检验并建立误差修正模型(ECM)实证研究了沪锌期货和现货价格之间的长期均衡关系以及对均衡偏离的短期调整;然后建立GARCH模型对沪锌价格的波动进行了分析;最后利用OLS回归估计了沪锌市场的最优套保率。实证研究发现,沪锌期货价格与现货价格之间存在这长期稳定的均衡关系,期货价格变动是现货价格变动的格兰杰原因,当短期价格偏离长期均衡后,期货价格和现货价格会以0.647的速度向长期均衡调整;CARCH(1,1)模型可以较好的拟合沪锌期货价格序列的波动,沪锌价格存在明显的“波动性集聚”现象,条件方差所受的冲击是持久的;沪锌市场的最优套保率为0.695。
Price discovery and hedging are two important functions of the futures market. In this paper, firstly, the co-integration analysis, Granger causality test and error correction model (ECM) are used to empirically study the long-term equilibrium relationship between Shanghai zinc futures and spot prices and the short-term adjustment of equilibrium deviation. Then, The fluctuation of price is analyzed; Finally, using OLS regression to estimate the optimal hedging rate of Shanghai zinc market. The empirical study found that there is a long-term stable equilibrium between the Shanghai-Shanghai futures price and the spot price. The futures price change is the Granger reason for the spot price fluctuation. When the short-term price deviates from the long-term equilibrium price, the futures price and the spot price will be 0.647 CARCH (1,1) model can better fit the volatility of Shanghai zinc futures price series. There is a clear “volatility accumulation” phenomenon in Shanghai zinc price. The impact of conditional variance is Lasting; the best hedging rate of Shanghai zinc market is 0.695.