CAJ | 학술논문

PTA市场价格波动频繁，作为生产厂商，需要确保利润不会因价格波动而减少，因此，可以选择PTA期货品种进行套期保值。在多种套期保值方法和评价指标中，本文选择Markowitz组合投资理论解释的套期保值方法和JohnC．Hul的改进模型以收益方差最小化推导出的最优套期保值比率作为评价指标，并用Ederington提出的评价套期保值有效性指标分析套期保值效果。通过2013年上半年数据，实证分析，证明套期保值可以减少生产企业大部分风险。
PTA시장개격파동빈번，작위생산엄상，수요학보리윤불회인개격파동이감소，인차，가이선택PTA기화품충진행투기보치。재다충투기보치방법화평개지표중，본문선택Markowitz조합투자이론해석적투기보치방법화JohnC．Hul적개진모형이수익방차최소화추도출적최우투기보치비솔작위평개지표，병용Ederington제출적평개투기보치유효성지표분석투기보치효과。통과2013년상반년수거，실증분석，증명투기보치가이감소생산기업대부분풍험。
In order to make sure that the profits may not decrease for the price fluctuation, the manufacturers of PTA can choose PTA futures for hedging. Among a variety of methods and evaluation indicators for hedging, we use Markowitz portfolio theory and the optimal hedging ratio de rived by John C. H ul as evaluation indicators, and use the hedging effectiveness evaluation indicators proposed by Ederington to analyze the hedging effectiveness. The empirical analysis with the data from the first half of 2013 proves that hedging can reduce most risk for manufacturing enterprises.