Cross hedging with commodity futures in China

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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，中國之期貨交易亦有驚人的成長，大豆油期貨交易量於自上市後短短四年內為世界第二大農產品期貨合約。本文選用大連交易所交易最活絡的大豆油期貨作為避險工具，採用雙變量 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場之交叉避險績效與策略。在現貨市場方面，本研究自中國兩大股票交易所，上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，編制農產類股市場指數作為農產類股市場績效之代理變數。實證結果指出：股價指數與大豆油期貨之報酬，兩者存在波動叢聚之特性（即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 模型捕捉此特性，避險績效在中長期的避險期間表現較佳，隨著避險期間的延展，避險績效有更顯著的提升。最後，農產品現貨價格受供需狀況影響較深，價格波動亦容易受到天候因素影響，因此相較於週避險，日避險策略更能有效地使投資組合變異數下降。 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.
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