[1]付剑茹,王 娟,叶猛华.随机过程、信息传导及套期保值功能——基于中国国债期货与现货的实证检验[J].金融教育研究,2019,(01):49-61.
　FU Jianru,WANG Juan,YE Menghua.Stochastic Processes,Information Dissemination and Hedging Function ——Based on the Empirical Research of Chinese Treasury Bond Futures and Spot Index[J].,2019,(01):49-61.
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随机过程、信息传导及套期保值功能——基于中国国债期货与现货的实证检验()
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《金融教育研究》[ISSN:1006-6977/CN:61-1281/TN]

卷:
期数:
2019年01期
页码:
49-61
栏目:
金融论坛
出版日期:
2019-02-10

文章信息/Info

Title:
Stochastic Processes,Information Dissemination and Hedging Function ——Based on the Empirical Research of Chinese Treasury Bond Futures and Spot Index
文章编号:
2095-0098(2019)01-0049-13
作者:
付剑茹;  王 娟;  叶猛华
江西师范大学 财政金融学院,江西 南昌 330022
Author(s):
FU Jianru;  WANG Juan;  YE Menghua
School of Finance,Jiangxi Normal University,Nanchang,Jiangxi 330022,China
关键词:
国债期货;  随机过程;  信息传导;  套期保值
Keywords:
treasury bond futures;  stochastic processes;  information dissemination;  hedging
分类号:
F830.91
文献标志码:
A
摘要:
采用ADF三阶段检验方法探讨中国国债期货和国债现货指数的随机过程,采用协整检验、GRANGE因果检验和方差分解检验对期货现货价格的领先滞后及信息传导机制进行研究。采用动态EC-VAR-DCC-GARCH模型探究国债期货的套期保值功能及套期保值模型的选择。实证结果表明:中国国债期货和国债现货指数均呈现纯随机游走过程。国债期货与现货之间存在长期的稳定均衡。从长期看,现货价格领先于期货价格,信息由现货市场传导至期货市场,期货市场进行调整以达到期货现货的长期稳定均衡,但调整速度较为缓慢,期货现货存在较为长期的非稳定均衡状态。短期而言,期货价格领先于现货价格,现货价格受期货价格引导,信息由期货市场传导至现货市场。无论是样本内,还是样本外,国债期货的单日套期保值效果并不理想。采用主力合约进行套期保值较采用其他两种合约效果更好。静态模型套期保值效率没有显著差异。动态模型的样本内套期保值效率略优于静态模型,但样本外套期保值效率则明显劣于静态模型。
Abstract:
This paper investigates the stochastic processes of Chinese Treasury bond futures and spot index using the method of ADF three-stage test.By applying co-integration test,grange causality test and variance decomposition test,this paper studies the leading and lagging of futures and spot prices and the information transmission mechanism.Dynamic EC-VAR-DCC-GARCH model was used to explore the hedging function of Treasury futures and the selection of hedging model.The empirical results show that both futures and spot indexes of Chinese government bonds exhibit a pure random walk process.There is a long-term stable equilibrium between Treasury futures and spot.In the long run,the spot price leads the futures price,information is transmitted from the spot market to the futures market,and the futures market adjusts to achieve the long-term stable equilibrium of the futures spot price.However,the adjustment speed is relatively slow,and there is a long-term unstable equilibrium state of the futures spot price.In the short term,futures prices are ahead of spot prices,which are guided by futures prices and information is transmitted from the futures market to the spot market.Whether in or out of sample,the one-day hedging effect of Treasury bond futures is not ideal.Using the main contract for hedging is better than using the other two contracts.There is no significant difference in hedging efficiency between static models.The in-sample hedging efficiency of the dynamic model is slightly better than that of the static model,but the out-of-sample hedging efficiency of the dynamic model is significantly lower than that of the static model.

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备注/Memo

备注/Memo:
收稿日期:2018-10-30
基金项目:国家自然科学基金项目“基于家庭农场和背景风险的农产品期货套期保值和生产研究”(71661014); 国家自然科学基金项目“基于模型/参数不确定性的股指期货最优套期保值比贝叶斯研究”(71261010); 江西省教育厅2014年科技项目“Knight不确定性下股指期货最优套期保值比贝叶斯决策研究”(GJJ14724)
作者简介:付剑茹(1974-),男,江西高安人,博士,教授,博士生导师,研究方向为金融工程和金融计量。
更新日期/Last Update: 2019-02-10