投资者信心对最优套期保值比率的影响研究
|
摘要
价格发现和套期保值是期货市场的两大基本功能,也是期货市场产生和发展的内在动力。套期保值是为了规避或转移现货价格涨跌带来风险的一种方式,目的是为了锁定利润和控制风险。套期保值和投机一般被认为是存在明显区别与界线的。套期保值只为了规避现货价格的涨跌带来的风险,不求通过套期保值获取利润;而投机则完全是为了赚取风险利润。然而,在现实中,套期保值者同样会根据其对趋势的判断和心里承受能力,对套期保值的头寸量做出一定的调整。也就是说,套期保值者在进行套期保值的时候会适当的考虑一定的投机性因素。
在进行套期保值的时候,最关键的问题是要选取一个适当的套期保值比率。本文通过分析比较几种传统的最优套期保值比率模型,选择了适合的模型,对其进行了扩展,将套期保值者的个人行为推广到整个市场的表现。并且引入了投资者信心指数的因素,通过实证研究分析了投资者信心指数对于套期保值者的影响情况。
综上所述,本文采用理论和实证相结合的方法,深入研究了商品期货市场的套期保值行为。研究结论完善了现有理论,增强了对套期保值行为的理解,有助于套期保值者做出更加适合的决策。
Price discovery and hedging are the two basic functions of futures markets, but also the inherent power of futures markets development. Hedging is to avoid or transfer risk to the spot price change as a way designed to lock in profits and control risk. Hedging and speculation generally considered to be obvious differences. Hedging is to avoid the risks of the spot price changes, but speculative is to make a profit. However, in reality, hedgers will also change their hedging positions according to their judgments and risk appetite. That is, hedgers will consider some of the speculation factors when they are making hedging decisions.
The main issue of hedging is to select an appropriate hedge ratio. Through analysis and comparison of several traditional model of the optimal hedge ratio, we choose a suitable model, and add a speculation factor to construct a new theoretical model. By derivation, we will analysis the impact of this factor on the hedging decision-making. Finally, we will do empirical research and analysis the impact of speculation factor to the empirical results.
In summary, the hedging behavior in the futures markets are systematically studied through academic and empirical analysis methods. This paper enhances the understanding of hedging behavior. It will help hedgers making appropriate decisions.
在进行套期保值的时候,最关键的问题是要选取一个适当的套期保值比率。本文通过分析比较几种传统的最优套期保值比率模型,选择了适合的模型,对其进行了扩展,将套期保值者的个人行为推广到整个市场的表现。并且引入了投资者信心指数的因素,通过实证研究分析了投资者信心指数对于套期保值者的影响情况。
综上所述,本文采用理论和实证相结合的方法,深入研究了商品期货市场的套期保值行为。研究结论完善了现有理论,增强了对套期保值行为的理解,有助于套期保值者做出更加适合的决策。
Price discovery and hedging are the two basic functions of futures markets, but also the inherent power of futures markets development. Hedging is to avoid or transfer risk to the spot price change as a way designed to lock in profits and control risk. Hedging and speculation generally considered to be obvious differences. Hedging is to avoid the risks of the spot price changes, but speculative is to make a profit. However, in reality, hedgers will also change their hedging positions according to their judgments and risk appetite. That is, hedgers will consider some of the speculation factors when they are making hedging decisions.
The main issue of hedging is to select an appropriate hedge ratio. Through analysis and comparison of several traditional model of the optimal hedge ratio, we choose a suitable model, and add a speculation factor to construct a new theoretical model. By derivation, we will analysis the impact of this factor on the hedging decision-making. Finally, we will do empirical research and analysis the impact of speculation factor to the empirical results.
In summary, the hedging behavior in the futures markets are systematically studied through academic and empirical analysis methods. This paper enhances the understanding of hedging behavior. It will help hedgers making appropriate decisions.
引文
[1] Baillie, R. T., & Myers, R. J.. Bivariate Garche stimation of the optimal commodity futures hedge[J]. Journal of Applied Econometrics, 1991,6:109–124.
[2] Bawa, V. S. Safety-first, stochastic dominance, and optimal portfolio choice[J]. Journal of Financial and Quantitative Analysis, 1978, 13: 255–271.
[3] Benet, B. A.. Hedge period length and ex ante futures hedging effectiveness: The case of foreign-exchange risk cross hedges[J]. Journal of Futures Markets, 1992,12:163–175.
[4] Cecchetti, S. G. , Cumby, R. E. , & Figlewski, S.. Estimation of the optimal futures hedge[J]. Review of Economics and Statistics, 1988,70:623–630.
[5] Chen, S. S. , Lee, C. F. , & Shrestha, K.. On a mean-generalized semivariance approach to determining the hedge ratio[J]. Journal of Futures Markets, 2001,21: 581–598.
[6] Cheung, C. S. , Kwan, C. C. Y. , & Yip, P. C. Y.. The hedging effectiveness of options and futures: A mean-Gini approach[J]. Journal of Futures Markets, 1990,10:61–74.
[7] Chou, W. L. , Fan, K. K. , & Lee, C. F. . Hedging with the Nikkei index futures: The conventional model versus the error correction model[J]. Quarterly Review of Economics and Finance, 1996, 36: 495–505.
[8] Crum, R. L. , Laughhunn, D. L. , & Payne, J. W. . Risk-seeking behavior and its implications for financial models[J]. Financial Management, 1981, 10: 20–27.
[9] D’Agostino, R. B. . An omnibus test of normality for moderate and largesize samples[J]. Biometrika, 1971, 58: 341–348.
[10] DeJong, A. , De Roon, F. , & Veld, C. . Out-of-sample hedging effectiveness of currency futures for alternative models and hedging strategies[J]. Journal of FuturesMarkets, 1997, 17: 817–837.
[11] Dickey, D. A., & Fuller, W. A. . Likelihood ratio statistics for autoregressive time series with a unit root[J]. Econometrica, 1981,49: 1057–1072.
[12] Ederington, L. H. . The hedging performance of the new futures markets[J]. Journal of Finance, 1979, 34:157–170.
[13] Engle, R. F. , & Granger, C. W. . Co-integration and error correction: Representation, estimation and testing[J]. Econometrica, 1987, 55: 251–276.
[14] Fishburn, P. C. . Mean-risk analysis with risk associated with below-target returns[J]. American Economic Review, 1977,67: 116–126.
[15] Geppert, J. M. . A statistical model for the relationship between futures contract hedging effectiveness and investment horizon length[J]. Journal of Futures Markets, 1995,15:507–536.
[16] Ghosh, A. . Hedging with stock index futures: Estimation and forecasting with error correction model[J]. Journal of Futures Markets, 1993,13: 743–752.
[17] Grammatikos, T. , & Saunders, A. . Stability and the hedging performance of foreign currency futures[J]. Journal of Futures Markets, 1983,3: 295–305.
[18] Howard, C. T. , & D’Antonio, L. J. . A risk-return measure of hedging effectiveness[J]. Journal of Financial and Quantitative Analysis, 1984,19: 101–112.
[19] Hsin, C. W. , Kuo, J. , & Lee, C. F. . A new measure to compare the hedging effectiveness of foreign currency futures versus options[J]. Journal of Futures Markets, 1994,14:685–707.
[20] Hylleberg, S. , & Mizon, G. E. . Cointegration and error correction mechanisms[J]. Economic Journal, 1989,99: 113–125.
[21] Jarque, C. M. , & Bera, A. K. . A test for normality of observations and regression residuals[J]. International Statistical Review, 1987,55:163–172.
[22] Johansen, S. , & Juselius, K. . Maximum likelihood estimation and inference on cointegration—with applications to the demand for money[J]. Oxford Bulletin ofEconomics and Statistics, 1990 ,52: 169–210.
[23] Johnson, L. L. . The theory of hedging and speculation in commodity futures[J]. Review of Economic Studies, 1960,27: 139–151.
[24] Junkus, J. C. , & Lee, C. F. . Use of three index futures in hedging decisions[J]. Journal of Futures Markets, 1985,5: 201–222.
[25] Kolb, R. W. , & Okunev, J. . An empirical evaluation of the extended mean-Gini coefficient for futures hedging,1992.
[26] Kolb, R. W. , & Okunev, J. . Utility maximizing hedge ratios in the extended mean Gini framework[J]. Journal of Futures Markets, 1993,13: 597–609.
[27] Kroner, K. F. , & Sultan, J. . Time-varying distributions and dynamic hedging with foreign currency futures[J]. Journal of Financial and Quantitative Analysis, 1993,28: 535–551.
[28] Lee, C. F. , Bubnys, E. L. , & Lin, Y. . Stock index futures hedge ratios: Test on horizon effects and functional form[J]. Advances in Futures and Options Research, 1987,2: 291–311.
[29] Lence, S. H. . The economic value of minimum variance hedges[J]. American Journal of Agricultural Economics, 1995,77: 353–364.
[30] Lence, S. H. . Relaxing the assumptions of minimum variance hedging[J]. Journal of Agricultural and Resource Economics, 1996, 21: 39–55.
[31] Lien, D. , & Luo, X. . Estimating the extended mean-Gini coefficient for futures hedging[J]. Journal of Futures Markets, 1993a ,13: 665–676.
[32] Lien, D. , & Luo, X. . Estimating multiperiod hedge ratios in cointegrated markets[J]. Journal of Futures Markets, 1993b, 13: 909–920.
[33] Lien, D. , & Shaffer, D. R. . Note on estimating the minimum extended Gini hedge ratio[J]. Journal of Futures Markets, 1999,19:101–113.
[34] Lien, D. , & Tse, Y. K. . Hedging time-varying downside risk[J]. Journal of Futures Markets, 1998,18: 705–722.
[35] Lien, D. , & Tse, Y. K. . Hedging downside risk with futures contracts[J]. Applied Financial Economics, 2000,10: 163–170.
[36] Malliaris, A. G. , & Urrutia, J. L. . The impact of the lengths of estimation periods and hedging horizons on the effectiveness of a hedge: Evidence from foreign currency futures[J]. Journal of Futures Markets, 1991,3: 271–289.
[37] Myers, R. J. , & Thompson, S. R. . Generalized optimal hedge ratio estimation[J]. American Journal of Agricultural Economics, 1989,71: 858–868.
[38] Osterwald-Lenum, M. . A note with quantiles of the asymptotic distribution of the maximum likelihood cointegration rank test statistics[J]. Oxford Bulletin of Economics and Statistics, 1992,54: 461–471.
[39] Phillips, P. C. B. , & Perron, P. . Testing unit roots in time series regression[J]. Biometrika, 1988 ,75: 335–346.
[40] Rutledge, D. J. S. . Hedgers’demand for futures contracts: A theoretical framework with applications to the United States soybean complex[J]. Food Research Institute Studies, 1972,11: 237–256.
[41] Sephton, P. S. . Hedging wheat and canola at the Winnipeg commodity exchange[J]. Applied Financial Economics, 1993a, 3: 67–72.
[42] Sephton, P. S.. Optimal hedge ratios at the Winnipeg commodity exchange[J]. Canadian Journal of Economics, 1993b, 26:175–193.
[43] Shalit, H.. Mean-Gini hedging in futures markets[J]. Journal of Futures Markets, 1995,15: 617–635.
[44] Stock, J. H. , & Watson, M. W. . Testing for common trends[J]. Journal of the American Statistical Association, 1988,83: 1097–1107.
[45] Working, H. . Hedging reconsidered[J]. Journal of Farm Economics, 1953, 35: 544–561.
[46]唐小我,曾勇.最小风险外汇套期保值比率的确定方法[J].预测,1995(4):45-46.
[47]郑明川.最小风险套期保值比率方法[J].系统工程理论与实践,1997(6):132-134. .
[48]戴志敏.期货市场最小风险套期保值量的确定[J].浙江大学学报,1997,11(2):83-87.
[49]袁象,王方华,曹范愚.协整关系对期货套期保值策略的影响[J].数理统计与管理,2003,22(2):44-47
[50]林孝贵.期货套期保值最大概率与最小风险分析[J].数学的实践与认识,2004,34(5):24-29
[51]屈小博,霍学喜,程瑾涛.基于风险最小化的期货套期保值比率的确定[J].西北农林科技大学学报(社会科学版),2004,4(2):65-68
[52]吴晓.最优动态汇率风险套期保值模型研究[J].财经理论与实践,2006,27(6):26-29
[53]刘列励,严美艺.协整关系对期货套期保值比率影响的实证研究[J].北京理工大学学报(社会科学版),2006(5):74-77
[54]张钦安,王金洲.试论国际石油期货贸易的形成和功能[J].江汉石油学院学报(社会科学版),1999,l(3):73-75
[55]杨振勇.浅谈石油市场价格机制及价格风险[J].胜利油田党校学报,2000(2):63-65
[56]吴秋南.管理石油价格风险[J].国际石油经济,2001,8(1):28-31
[57]李振祥.石油期货:应对国际油价波动的必然选择[J].中国石化,2003(7):16-17
[58]秦军.建立石油期货市场[J].统计与决策,2003(7):98
[59]杨柄华.原油储备与期货交易[J].中国石化,2003(2):14-15
[60]陈中涛.中国急需发展石油期货市场[J].中国能源,2003,25(10):34-37
[61]范秋芳,马扬.利用石油期货市场规避油价风险[J].价格理论与实践,2004(03):51-52
[62]李韫,张丰胜.石油期货市场套期保值与风险规避[J].国际石油经济,2005(01):83-85
[63]冯春山,蒋馥,吴家春.石油期货套期保值套期比选取的研究[J].系统工程理论方法应用,2005(02):96-98
[64]吴毅,叶志钧.三大石油期货市场套期保值功能的比较研[J].统计与决策,2006(2):38-39
[65]林孝贵.二重期货套期保值模型及其代数解法[J].广西工学院学报,2004,15(3):68-71
[2] Bawa, V. S. Safety-first, stochastic dominance, and optimal portfolio choice[J]. Journal of Financial and Quantitative Analysis, 1978, 13: 255–271.
[3] Benet, B. A.. Hedge period length and ex ante futures hedging effectiveness: The case of foreign-exchange risk cross hedges[J]. Journal of Futures Markets, 1992,12:163–175.
[4] Cecchetti, S. G. , Cumby, R. E. , & Figlewski, S.. Estimation of the optimal futures hedge[J]. Review of Economics and Statistics, 1988,70:623–630.
[5] Chen, S. S. , Lee, C. F. , & Shrestha, K.. On a mean-generalized semivariance approach to determining the hedge ratio[J]. Journal of Futures Markets, 2001,21: 581–598.
[6] Cheung, C. S. , Kwan, C. C. Y. , & Yip, P. C. Y.. The hedging effectiveness of options and futures: A mean-Gini approach[J]. Journal of Futures Markets, 1990,10:61–74.
[7] Chou, W. L. , Fan, K. K. , & Lee, C. F. . Hedging with the Nikkei index futures: The conventional model versus the error correction model[J]. Quarterly Review of Economics and Finance, 1996, 36: 495–505.
[8] Crum, R. L. , Laughhunn, D. L. , & Payne, J. W. . Risk-seeking behavior and its implications for financial models[J]. Financial Management, 1981, 10: 20–27.
[9] D’Agostino, R. B. . An omnibus test of normality for moderate and largesize samples[J]. Biometrika, 1971, 58: 341–348.
[10] DeJong, A. , De Roon, F. , & Veld, C. . Out-of-sample hedging effectiveness of currency futures for alternative models and hedging strategies[J]. Journal of FuturesMarkets, 1997, 17: 817–837.
[11] Dickey, D. A., & Fuller, W. A. . Likelihood ratio statistics for autoregressive time series with a unit root[J]. Econometrica, 1981,49: 1057–1072.
[12] Ederington, L. H. . The hedging performance of the new futures markets[J]. Journal of Finance, 1979, 34:157–170.
[13] Engle, R. F. , & Granger, C. W. . Co-integration and error correction: Representation, estimation and testing[J]. Econometrica, 1987, 55: 251–276.
[14] Fishburn, P. C. . Mean-risk analysis with risk associated with below-target returns[J]. American Economic Review, 1977,67: 116–126.
[15] Geppert, J. M. . A statistical model for the relationship between futures contract hedging effectiveness and investment horizon length[J]. Journal of Futures Markets, 1995,15:507–536.
[16] Ghosh, A. . Hedging with stock index futures: Estimation and forecasting with error correction model[J]. Journal of Futures Markets, 1993,13: 743–752.
[17] Grammatikos, T. , & Saunders, A. . Stability and the hedging performance of foreign currency futures[J]. Journal of Futures Markets, 1983,3: 295–305.
[18] Howard, C. T. , & D’Antonio, L. J. . A risk-return measure of hedging effectiveness[J]. Journal of Financial and Quantitative Analysis, 1984,19: 101–112.
[19] Hsin, C. W. , Kuo, J. , & Lee, C. F. . A new measure to compare the hedging effectiveness of foreign currency futures versus options[J]. Journal of Futures Markets, 1994,14:685–707.
[20] Hylleberg, S. , & Mizon, G. E. . Cointegration and error correction mechanisms[J]. Economic Journal, 1989,99: 113–125.
[21] Jarque, C. M. , & Bera, A. K. . A test for normality of observations and regression residuals[J]. International Statistical Review, 1987,55:163–172.
[22] Johansen, S. , & Juselius, K. . Maximum likelihood estimation and inference on cointegration—with applications to the demand for money[J]. Oxford Bulletin ofEconomics and Statistics, 1990 ,52: 169–210.
[23] Johnson, L. L. . The theory of hedging and speculation in commodity futures[J]. Review of Economic Studies, 1960,27: 139–151.
[24] Junkus, J. C. , & Lee, C. F. . Use of three index futures in hedging decisions[J]. Journal of Futures Markets, 1985,5: 201–222.
[25] Kolb, R. W. , & Okunev, J. . An empirical evaluation of the extended mean-Gini coefficient for futures hedging,1992.
[26] Kolb, R. W. , & Okunev, J. . Utility maximizing hedge ratios in the extended mean Gini framework[J]. Journal of Futures Markets, 1993,13: 597–609.
[27] Kroner, K. F. , & Sultan, J. . Time-varying distributions and dynamic hedging with foreign currency futures[J]. Journal of Financial and Quantitative Analysis, 1993,28: 535–551.
[28] Lee, C. F. , Bubnys, E. L. , & Lin, Y. . Stock index futures hedge ratios: Test on horizon effects and functional form[J]. Advances in Futures and Options Research, 1987,2: 291–311.
[29] Lence, S. H. . The economic value of minimum variance hedges[J]. American Journal of Agricultural Economics, 1995,77: 353–364.
[30] Lence, S. H. . Relaxing the assumptions of minimum variance hedging[J]. Journal of Agricultural and Resource Economics, 1996, 21: 39–55.
[31] Lien, D. , & Luo, X. . Estimating the extended mean-Gini coefficient for futures hedging[J]. Journal of Futures Markets, 1993a ,13: 665–676.
[32] Lien, D. , & Luo, X. . Estimating multiperiod hedge ratios in cointegrated markets[J]. Journal of Futures Markets, 1993b, 13: 909–920.
[33] Lien, D. , & Shaffer, D. R. . Note on estimating the minimum extended Gini hedge ratio[J]. Journal of Futures Markets, 1999,19:101–113.
[34] Lien, D. , & Tse, Y. K. . Hedging time-varying downside risk[J]. Journal of Futures Markets, 1998,18: 705–722.
[35] Lien, D. , & Tse, Y. K. . Hedging downside risk with futures contracts[J]. Applied Financial Economics, 2000,10: 163–170.
[36] Malliaris, A. G. , & Urrutia, J. L. . The impact of the lengths of estimation periods and hedging horizons on the effectiveness of a hedge: Evidence from foreign currency futures[J]. Journal of Futures Markets, 1991,3: 271–289.
[37] Myers, R. J. , & Thompson, S. R. . Generalized optimal hedge ratio estimation[J]. American Journal of Agricultural Economics, 1989,71: 858–868.
[38] Osterwald-Lenum, M. . A note with quantiles of the asymptotic distribution of the maximum likelihood cointegration rank test statistics[J]. Oxford Bulletin of Economics and Statistics, 1992,54: 461–471.
[39] Phillips, P. C. B. , & Perron, P. . Testing unit roots in time series regression[J]. Biometrika, 1988 ,75: 335–346.
[40] Rutledge, D. J. S. . Hedgers’demand for futures contracts: A theoretical framework with applications to the United States soybean complex[J]. Food Research Institute Studies, 1972,11: 237–256.
[41] Sephton, P. S. . Hedging wheat and canola at the Winnipeg commodity exchange[J]. Applied Financial Economics, 1993a, 3: 67–72.
[42] Sephton, P. S.. Optimal hedge ratios at the Winnipeg commodity exchange[J]. Canadian Journal of Economics, 1993b, 26:175–193.
[43] Shalit, H.. Mean-Gini hedging in futures markets[J]. Journal of Futures Markets, 1995,15: 617–635.
[44] Stock, J. H. , & Watson, M. W. . Testing for common trends[J]. Journal of the American Statistical Association, 1988,83: 1097–1107.
[45] Working, H. . Hedging reconsidered[J]. Journal of Farm Economics, 1953, 35: 544–561.
[46]唐小我,曾勇.最小风险外汇套期保值比率的确定方法[J].预测,1995(4):45-46.
[47]郑明川.最小风险套期保值比率方法[J].系统工程理论与实践,1997(6):132-134. .
[48]戴志敏.期货市场最小风险套期保值量的确定[J].浙江大学学报,1997,11(2):83-87.
[49]袁象,王方华,曹范愚.协整关系对期货套期保值策略的影响[J].数理统计与管理,2003,22(2):44-47
[50]林孝贵.期货套期保值最大概率与最小风险分析[J].数学的实践与认识,2004,34(5):24-29
[51]屈小博,霍学喜,程瑾涛.基于风险最小化的期货套期保值比率的确定[J].西北农林科技大学学报(社会科学版),2004,4(2):65-68
[52]吴晓.最优动态汇率风险套期保值模型研究[J].财经理论与实践,2006,27(6):26-29
[53]刘列励,严美艺.协整关系对期货套期保值比率影响的实证研究[J].北京理工大学学报(社会科学版),2006(5):74-77
[54]张钦安,王金洲.试论国际石油期货贸易的形成和功能[J].江汉石油学院学报(社会科学版),1999,l(3):73-75
[55]杨振勇.浅谈石油市场价格机制及价格风险[J].胜利油田党校学报,2000(2):63-65
[56]吴秋南.管理石油价格风险[J].国际石油经济,2001,8(1):28-31
[57]李振祥.石油期货:应对国际油价波动的必然选择[J].中国石化,2003(7):16-17
[58]秦军.建立石油期货市场[J].统计与决策,2003(7):98
[59]杨柄华.原油储备与期货交易[J].中国石化,2003(2):14-15
[60]陈中涛.中国急需发展石油期货市场[J].中国能源,2003,25(10):34-37
[61]范秋芳,马扬.利用石油期货市场规避油价风险[J].价格理论与实践,2004(03):51-52
[62]李韫,张丰胜.石油期货市场套期保值与风险规避[J].国际石油经济,2005(01):83-85
[63]冯春山,蒋馥,吴家春.石油期货套期保值套期比选取的研究[J].系统工程理论方法应用,2005(02):96-98
[64]吴毅,叶志钧.三大石油期货市场套期保值功能的比较研[J].统计与决策,2006(2):38-39
[65]林孝贵.二重期货套期保值模型及其代数解法[J].广西工学院学报,2004,15(3):68-71