CAJ | 학술논문

本文采用更接近套期保值实践的数据选取方法，基于中国铜、铝期货市场分别对套期保值期限与最优套期保值比率、套期保值缋效之间的关系，以及期货合约选择与最优套期保值比率、套期保值绩效之间的关系进行了系统的研究。本文的主要实证结果如下：首先，与现有文献的结论不同。不同套期保值期限的套期保值比率比较接近，而且套期保值期限对最优套期保值比率、套期保值绩效的影响不显著；其次，在套期保值时选择的期货合约距离最后交割月越近，最优套期保值比率越大，套期套期保值绩效越好。
본문채용경접근투기보치실천적수거선취방법，기우중국동、려기화시장분별대투기보치기한여최우투기보치비솔、투기보치궤효지간적관계，이급기화합약선택여최우투기보치비솔、투기보치적효지간적관계진행료계통적연구。본문적주요실증결과여하：수선，여현유문헌적결론불동。불동투기보치기한적투기보치비솔비교접근，이차투기보치기한대최우투기보치비솔、투기보치적효적영향불현저；기차，재투기보치시선택적기화합약거리최후교할월월근，최우투기보치비솔월대，투기투기보치적효월호。
By using an approach close to the real hedging practice, the paper is to study the effects of the length of hedging horizon and futures contract selection on the optimal hedge ratio and hedge effectiveness in the copper and aluminum futures market in China. The main empirical results indicate： firstly, the hedge ratios of different length of hedging horizons are very close, and the length of hedging horizon has no statistically significant effects on the optimal hedge ratio and hedge effectiveness, which is different from the empirical results in current literatures; secondly, the optimal hedge ratio and hedge effectiveness are generally larger and better by buying a futures contract with near delivery date than those by buying a distant futures contract.