吉林农业大学学报2011，Vol.33Issue(4)：464-468,5.DOI:CNKI:22-1100/S.20110516.1628.003
中国玉米期货市场套期保值有效性分析
Empirical Research on Hedging Effectiveness of Chinese Corn Futures Market
摘要
Abstract
In order to explore the risk transferring performance of Chinese Corn Futures Market, this paper utilizes the futures price of corn from Dalian Commodity Exchange and cash price of corn from Jilin Corn Wholesale Market. The optimal hedging ratio is determined through Orrlinary Least Squares, Vector Autoregression Model, Error Correction Model and General Vector Autoregression Conditional Heteroskedasticity. By means of Ederington's percentage method, the performance of hedging is measured. The results show that the risk transferring function is not realized in China.关键词
玉米期货市场；转移价格风险；套期保值有效性；最佳套期保值比率Key words
corn futures market/ transferring price risk/ hedging effectiveness/ optimal hedging ratio分类
管理科学引用本文复制引用
闫云仙,张越杰..中国玉米期货市场套期保值有效性分析[J].吉林农业大学学报,2011,33(4):464-468,5.基金项目
教育部人文社会科学研究规划基金项目(08JA790055)，吉林农业大学博士启动基金项目(201142) （08JA790055）
