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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/73963

    Title: Cross hedging with commodity futures in China
    Other Titles: 中國商品期貨之交叉避險績效探討
    Authors: 鄭郁儒;Cheng, Yu-Ju
    Contributors: 淡江大學財務金融學系碩士班
    邱建良;Chiu, Chien-Liang
    Keywords: 大連商品期貨交易;大豆油期貨;交叉避險;市場指數;雙變量;Dalian Commodity Exchange;soybean oil futures;market index;cross-hedging performance;Bivariate Garch;GARCH
    Date: 2011
    Issue Date: 2011-12-28 17:39:47 (UTC+8)
    Abstract: 中國大陸近十年來已漸漸站穩全球供需市場之重要地位,中國之期貨交易亦
    量 GARCH,GJR-GARCH 模型估計動態避險比率,進而評估樣本外避險績效,
    以持有農產品現貨的投資人或機構法人為研究對象, 探討大豆油期貨在現貨市
    海交易所及深圳交易所挑選出 17 支農產類股,採用市值加權與價格加權法,編

    拒絕同質變異之假設),此亦說明採用 GARCH 模型的適切性。由於農產品現貨
    具有中長期之生長週期特性,因此透過雙變量 GARCH 及 GJR-GARCH 模型捕捉
    This study primarily examines the cross-hedging performance with the most
    actively traded contract, soybean oil futures on Dalian Commodity Exchange. Unlike
    previous studies, we constructed two market indices for agribusiness companies listed
    on the Shanghai Stock Exchange and the Shenzhen Stock Exchange as proxy for
    stock market performance. Based on the bivariate GARCH-type framework,
    important evidences are illustrated in our empirical results and it provides global
    traders with worthwhile implications for optimal utilization of futures contracts.
    To improve the weakness of symmetric GARGH model, we employ the
    GJR-GARCH model to capture the asymmetric effect in volatility of financial
    variables. Owing to the implementation of the split share structure reform in 2005,
    more tradable shares on stock market might lead to a substantial increase in liquidity.
    Further, since the existence of the cycle in agricultural crop production, the hedge
    period length and hedging frequency serve a vital role in agricultural futures hedging.
    Our finding offers insightful suggestion for domestic individuals and institutional
    shareholders who suffer from the price fluctuation in agricultural market.
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Thesis

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