Empirical Study on Best Hedge Ratio of Nonferrous Metals Futures in Chinas Futures Market
This paper made a comparison analysis of conditions to use variance minimization optimal hedging strategy and expected utility maximization hedging strategy in the current circumstances, and an applicability analysis of OLS, B-VAR, ECHM, GARCH dynamic model, LPM and other methods, and made a conclusion that the B-VAR method has a relatively high effectiveness to solve the problem of optimal hedging ratio in the futures market In the other hand, mis paper, through the use of B-VAR approach, made an empirical study of the historical transaction data of domestic copper, aluminum and zinc and other nonferrous metals-related spot, and futures, and calculated optimal hedging ratio for three varieties. Through quantitative hedging performance analysis of hedging performance differences of three non-ferrous metals futures under different strategies, and concluded that Chinas non-ferrous metal futures market at the current level is a sub-market system, with some species yet to improve its market maturity level.
B-VAR Futures Market Optimal Hedging Ratio Nonferrous metals
Wu Fei Wang Dan
School of Business, Beijing Wuzi University, China Dalian Commodity Exchange, China School of Business, Beijing Wuzi University, China
国际会议
第八届武汉电子商务国际会议(The Eighth Wuhan International Conference on E-Business)
武汉
英文
1560-1565
2009-05-30（万方平台首次上网日期，不代表论文的发表时间）