CAJ | 학술논문

本文借用Copulas—GARCH模型框架，将历史基差以及随机冲击等因素引入到价格联动模式中，探讨不对称相关结构的形成及其对于套期保值的影响。通过实证研究发现：（1）基差和随机冲击将影响期货和现货价格的相关结构；（2）在不对称结构明显的日本市场上，套期保值效果获得明显提升。而在不对称结构不明显的香港市场上，保值效果仍比传统方案有显著改进；（3）无论是日本市场，还是中国香港市场，套期保值成本均明显降低。
본문차용Copulas—GARCH모형광가，장역사기차이급수궤충격등인소인입도개격련동모식중，탐토불대칭상관결구적형성급기대우투기보치적영향。통과실증연구발현：（1）기차화수궤충격장영향기화화현화개격적상관결구；（2）재불대칭결구명현적일본시장상，투기보치효과획득명현제승。이재불대칭결구불명현적향항시장상，보치효과잉비전통방안유현저개진；（3）무론시일본시장，환시중국향항시장，투기보치성본균명현강저。
Under the framework of Copula-GARCH, historic basis and stochastic impulse will be taken into consideration, and asymmetric correlation of index and its futures will be explored. And then, modified hedging strategy based on asymmetric correlation will be constructed. This paper will compare the effectiveness of new methodology with the OLS, CCC-GARCH and DCC-GARCH. The results show that：（1） basis risk and stochastic impulse have effects on the dependence parameter; （2） the Copulas-GARCH model with consideration of basis and stochastic impulse reduce the variance in the portfolio returns of Japan market, while the reduction is not significant in Hong Kong market when comparing with other dynamic hedging models; （3） the modified model halp alleviate the hedging cost on both markets significantly.