摘 要
大宗商品期货市场作为现代金融市场的重要组成部分，在风险管理、价格发现和资源配置中发挥着关键作用。然而，随着全球经济不确定性的增加以及市场波动的加剧，如何有效利用期货市场进行套期保值成为企业和投资者关注的核心问题。本研究旨在探讨中国大宗商品期货市场的套期保值效率，通过构建多元回归模型与动态对冲比率模型，结合2010年至2022年的高频数据，分析不同商品类别（如能源、金属和农产品）在不同市场环境下的套期保值效果。研究采用滚动窗口法评估动态套期保值比率，并引入GARCH类模型以捕捉市场波动性聚类特征。结果表明，中国大宗商品期货市场的套期保值效率总体较高，但因商品类别和市场条件的不同而存在显著差异。具体而言，金属类商品的套期保值效率优于能源和农产品；同时，在市场波动剧烈时期，动态调整对冲比率能够显著提升套期保值效果。本研究的创新点在于首次将动态对冲策略与波动性建模相结合，揭示了市场非平稳性对套期保值效率的影响机制。此外，研究还为市场参与者提供了优化套期保值策略的具体建议，有助于提升风险管理水平。总体而言，本研究不仅丰富了大宗商品期货市场套期保值效率的理论框架，也为相关政策制定和实践操作提供了重要参考。
关键词：套期保值效率；动态对冲比率；大宗商品期货市场；GARCH模型；市场波动性
Abstract
The commodities futures market, as a crucial component of modern financial markets, plays a pivotal role in risk management, price discovery, and resource allocation. However, with the increasing global economic uncertainty and intensified market volatility, effectively utilizing the futures market for hedging has become a central concern for enterprises and investors. This study investigates the hedging efficiency of China’s commodities futures market by constructing a multiple regression model and a dynamic hedging ratio model, incorporating high-frequency data from 2010 to 2022 to analyze the hedging effects of different commodity categories (such as energy, me tals, and agricultural products) under varying market conditions. The rolling window method is employed to evaluate dynamic hedging ratios, while GARCH-type models are introduced to capture the volatility clustering characteristics of the market. The findings indicate that the overall hedging efficiency of China’s commodities futures market is relatively high but exhibits significant variations depending on commodity categories and market conditions. Specifically, the hedging efficiency of me tal commodities outperforms that of energy and agricultural products. Moreover, during periods of severe market fluctuations, dynamically adjusting the hedging ratio significantly enhances hedging effectiveness. The innovation of this study lies in its integration of dynamic hedging strategies with volatility modeling, revealing the impact mechanism of market non-stationarity on hedging efficiency. Additionally, the study provides specific recommendations for optimizing hedging strategies for market participants, contributing to improved risk management capabilities. Overall, this research not only enriches the theoretical fr amework of hedging efficiency in commodities futures markets but also offers critical references for policy formulation and practical operations.
Keywords: Hedging Efficiency; Dynamic Hedge Ratio; Commodity Futures Market; Garch Model; Market Volatility
目 录
1绪论 1
1.1大宗商品期货市场套期保值的研究背景 1
1.2套期保值效率研究的意义与价值 1
1.3国内外大宗商品期货市场研究现状 1
1.4本文研究方法与技术路线 2
2套期保值效率的理论基础与分析框架 2
2.1套期保值的基本概念与功能 2
2.2大宗商品期货市场的运行机制 3
2.3套期保值效率的衡量方法与指标体系 3
2.4不同套期保值策略的比较分析 4
2.5理论框架构建与假设提出 4
3大宗商品期货市场套期保值效率的实证研究 5
3.1数据来源与样本选择 5
3.2实证模型的设计与变量定义 5
3.3套期保值效率的动态特征分析 6
3.4不同商品类别下的效率差异研究 6
3.5实证结果解读与政策含义 7
4影响套期保值效率的因素分析与优化建议 7
4.1市场波动性对套期保值效率的影响 7
4.2流动性与套期保值效率的关系研究 8
4.3信息不对称对效率的制约作用 8
4.4监管政策对套期保值效率的影响评估 9
4.5提升套期保值效率的对策建议 9
结论 11
参考文献 12
致 谢 13
