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Study on the Hedging Performance of Gold Futures in China

Author: FuJianDong
Tutor: YangXing
School: Jinan University
Course: Finance
Keywords: Gold futures Hedge Ratio Hedging Performance
CLC: F724.5;F224
Type: Master's thesis
Year: 2011
Downloads: 176
Quote: 0
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Abstract


As we all know, is an important function of the futures market is risk aversion , risk aversion is achieved through the hedging instruments . Investors use futures contracts to hedge faces a key question is whether the use of the number of positions in the futures contracts that determine how much hedge ratio can reasonably avoid held spot price risk . This paper selected has just launched the 3rd anniversary of the long gold futures as a research object, the optimal hedge ratio estimation problem in the use of gold futures to hedge . In this network from the Shanghai Gold Exchange and Futures Exchange website selected the 449 gold spot and futures prices sample data research , research has two parts : The first part OLS model , the B - VAR model , the ECM model and B- GARCH model to estimate the optimal hedge ratio . The second part is based on the minimum variance angle Hedging Performance of the four models estimated were evaluated and compared . The results show that : (1 ) China 's gold futures prices and spot prices is highly correlated , the correlation coefficient of 0.985187 , means that China's gold futures to hedge the gold spot is most likely . (2) China's gold futures prices and spot prices is more significant cointegration relationship improperly ignored this relationship will make an estimation of the optimal hedge ratio is too small ( 3) based on the minimum variance hedging performance comparison can be seen , as opposed to not participate in the hedging involved in hedging can effectively avoid the risk of fluctuations in the market price of spot gold .

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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