文档介绍：基差风险与套期保值策略研究

摘要

本文通过研究国内外企业和金融机构在期货市场套期保值或参与期
货交易的案例,认为基差风险是套期保值顺利实现的最重要因素,而近
年来的学者忽略了美国期货专家 Working 于 1962 年对基差风险重要性的
论证,而只是在现代套期保值投资组合理论的基础上,通过异方差、自
相关等计量方法,以及优化风险、收益和效用函数的手段,计算最优套
期保值比例。
本文不再将期货看作是与现货相关的另一种资产,而是在基差的收
益率的自相关模型中加入到期因子,使基差的均值和波动率随着到期日
的临近而逐渐减小。本文首先论证期货的基差风险具有趋零性和基差波
动率具有收敛性的特征,然后采用不套期保值、传统套期保值、OLS、普
通动态套期保值、(不)考虑到期效应的 GARCH 模型结合单期套期保值和
多阶段套期保值的方法,对沪铜、沪铝商品期货,S&P00 股指期货进行
套期保值模型进行实证研究。发现:
(1)期货合约的基差都呈现出随着到期日的临近而逐渐趋于零,并
且波幅逐渐减小的特征。
(2)GARCH 模型不能适用于我国沪铜、沪铝期货的套期保值,却可
以显著改善 S&P500 股指期货套期保值的有效性。
(3)多阶段套期保值比例计算方法虽然考虑了自相关性,但是得到
的 MVHR 远大于其他模型,而且投资组合的波动率很大,风险控制方面要
VI
比单期套期保值比例计算方法差。
(4)考虑到期效应的单期套期保值模型得到的 MVHR 在期初最小,
但随着到期日的临近而平稳增加,且波动率小于普通动态套期保值方法
和不考虑到期日效应的单期套期保值模型,具有更高的实践价值。

关键词:到期日效应,收敛性,基差收益率,MVHR
VII
A STUDY ON BASIS RISK
AND HEDGING STRATEGIES

ABSTRACT

From a case study on several examples of hedging and trading activities on both domestic and oversea
future markets, this paper found out the key factor for a essful hedging is to identify and fully
understand the ’basis risk’. Recent researchers almost neglected the importance of basis risk, but put
their efforts on calculating optimal hedging ratio through hetero-skedasticity, auto correlation and other
quantitative methods, and the analysis on optimization of risk, return and utility function.
This paper did not see future as another related asset to spot goods, but added maturity factor to the
auto correlation model of basis return. The factor made it possible to let basis shrink gradually to zero
with the maturity day approaches, and the volatility also decreases. After a discussion on characteristics
about basis risk, none hedging, traditional hedging, OLS, ordinary dynamic hedging, GARCH model
combined with single stage hedging and multi-stage hedging was used in a empirical study. The
conclusions are listed below:
(1) The basis of future contract generally approaches to zero along with the maturity date arri