摘要
Abstract
Copper futures have become indispensable pricing and risk management tools for copper industry upstream and downstream enterprises. A growing number of copper enterprises have participated in copper futures hedging. However, the futures' price and spot price are not in parallel motion, i.e. the price changes between them are not completely consistent. Therefore, the key of hedging is the determination of its ratio. The article explores and researches 490 futures and spot data from the Shanghai Futures Exchange, estimates the hedging by using OLS model and EMC model, and finally analyzes the estimation results.关键词
铜期货/套期保值/套期保值比率/OLS/EMCKey words
Copper Futures/Hedging/Hedging Ratio/OLS/EMC分类
管理科学
