CAJ | 학술논문

中国玉米期货市场单个合约的套期保值与价格发现效率不高，但反映总体价格预期的玉米期货价格指数具有较高的套期保值和价格发现效率，玉米期货指数化组合套期保值策略可以提高套保效果；玉米现货价对利好消息反应更加敏感，具有易涨难跌特性，玉米期货价格指数对消息的反应基本是对称的，两个市场价格之间的日间波动不存在显著的相互影响；玉米现货价格与期货价格指数之间的基差约束着现货价和期货指数的形成与波动，当基差偏离其长期均值时，会牵引现货价作出同向变动，并使现货价波动性增大，同时抑制期货价格指数的变化和波动。
중국옥미기화시장단개합약적투기보치여개격발현효솔불고，단반영총체개격예기적옥미기화개격지수구유교고적투기보치화개격발현효솔，옥미기화지수화조합투기보치책략가이제고투보효과；옥미현화개대리호소식반응경가민감，구유역창난질특성，옥미기화개격지수대소식적반응기본시대칭적，량개시장개격지간적일간파동불존재현저적상호영향；옥미현화개격여기화개격지수지간적기차약속착현화개화기화지수적형성여파동，당기차편리기장기균치시，회견인현화개작출동향변동，병사현화개파동성증대，동시억제기화개격지수적변화화파동。
In China corn futures market, the corn futures price index has more efficiencies in hedge and price discovery than those of a single futures contract, which means indexing portfolio hedge can improve the hedge efficiency. Corn spot price volatility reacts to good news more sensitively than to bad news, but corn futures price index volatility is symmetrical. There is no significant spillover effect between corn spot price and futures price index volatility. The basis between the spot price and the futures price index restricts the formation and fluctuation, and when deviating from the long-term mean values, it will make the spot price a cocurrent change and the fluctuation rise, and restrain the changes of fluctuations of futures index.