摘要
自Johnson(1960)、Stein(1961)和Ederington(1979)开创了现代套期保值理论以来,对套期保值策略的研究着眼于从三个纬度来进行展开:一是套期保值者的目标函数,二是期货与现货价格联动模式,三是尝试采用不同的推断估计思想和方法。对于前两个纬度,研究者进行过相当广泛和深入的探讨。本文在第三个纬度推断估计思想和方法方面进行进一步的探讨。假定现货价格服从ITO过程,运用ITO理推导出现货价格的递推公式。跳出"通过选用不同计量经济模型来反映期货现货价格联动方式"的主流思想和方法,基于期货定价理论-持有成本理论来描述期货与现货价格的联动方式。在持有成本期货定价理论的框架下,采用蒙特卡洛方法模拟出期货与现货价格时间序列。实证研究表明,中国铜期货市场持有成本均值为负,期货价格低于现货价格。该结论和Keynes提出的现货溢价(Backwardation)理论相一致。模拟的期货现货回报时间序列之间几乎不存在相关关系。这意味着中国现有铜期货市场由投机者主导,套期保值交易属于被支配地位。
Since Johnson(1960),Stein(1961)and Ederington(1979)pioneered the modem theory of hedging,the research on hedging strategy mainly focuse on the three latitudes.The first is the objective function of hedgers;the second is the linkage pattern of futures and spot prices;the third is to try different inference ideas and estimate methods.For the first two latitudes,the researchers conducted a very extensive and in-depth discussion.This article make further study on the third latitude.Suppose spot price follows ITO process,this article derived the fluctuation process of spot price by using Ito lemma.Jumpping out the mainstream ideas and methods which use different econometric models to reflect the linkage pattern of futures and spot prices,this article bases on futures pricing theory describe the linkage pattern.Based on cost of carry theory,this paper simulate the coming track of futures price and spot price by the method of Monte Carlo simulation.The empirical results indicates that the sign of the mean of cost of carry in china' copper futures market is negative.The find is consistent of backwardation theory proposed by Keynes.Unfortunately,the coefficient of correlation of the simulated futures return and spot return nearly is zero and the discover make out that china' copper futures market is dominated by speculative trading volume.
出处
《技术经济与管理研究》
北大核心
2010年第A6期22-26,共5页
Journal of Technical Economics & Management
