摘要
本文基于套期保值压力效应的视角主要从商品期货合约本身的套期保值压力和交叉套期保值压力两个方面对我国农产品、能源化工和金属商品期货的风险溢价进行测度和分析。实证研究表明:当控制系统风险后,商品期货本身的套期保值压力与存在于组内的交叉套期保值压力均显著地影响期货的风险溢价。最后,本文引入价格压力变量以检验期货风险溢价模型的稳健性,当控制价格压力后,这两种套期保值压力效应仍然显著地存在。
Due to the fluctuation of international commodity price and China＇s imperfect pricing mechanism of commodity futures in recent years,the uncertainty of China＇s commodity futures market has increased greatly. China still has no influence on international commodity price. The determinants of China＇s commodity futures risk premium are an integral part of China＇s commodity futures pricing mechanism. Therefore,discussion on factors of commodity futures risk premium has great academic and practical implications on optimizing China＇s commodity futures pricing mechanism.We conduct t-tests to assess the average correlation between each futures contract risk premium and their underlying commodity risk premium by using different estimation methods. We also try to understand the influence of systematic risk and own hedging pressure on the futures risk premium. Secondly,we analyze the influence of cross hedging pressure on the futures risk premium by using wald-tests and corresponding p-values. Finally,this paper tests the robustness of futures risk premium model. In this paper,we model futures risk premium in terms of the covariance of futures returns with the market return and hedging pressure variables. Own hedging pressure and cross hedging pressure variables are regarded as important factors in explaining the futures risk premium.Firstly,this paper analyzes risk premium based on hedging pressure effects,mainly from own hedging pressure and cross hedging pressure of 12 kinds of commodity futures contract including agricultural products,energy,and chemical industry and metal futures.Secondly,when considering the market risk both own hedging pressure and cross hedging pressure within the group significantly affect the future risk premium. Finally,this paper tests the robustness of the empirical results. The empirical results show that both own hedging pressure and cross hedging pressure within the group significantly affect the futures risk premium.To sum up,these two kinds of hedging pressure effects remain significant even after controlling market risks and price pressures.
出处
《管理工程学报》
CSSCI
北大核心
2015年第1期194-199,206,共7页
Journal of Industrial Engineering and Engineering Management
作者简介
许泱（1981-），男，湖北省咸宁市人。湖北科技学院经济与管理学院讲师，经济学博士，研究方向：金融计量。
