The Cross-species Hedge between Hot-rolled and WR0909 Based on Shanghai Market
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摘要: 应用2006年2月至2009年9月的现货样本数据以及2009年3月27日以后的线材期货WR0909周样本数据，研究发现热轧和线材现货具有长期相关性，可以进行跨品种套期保值。跨品种套保采用价值相等法，并利用最优套保比率对合约份数进行调整。跨品种套保为钢铁企业提供了新的风险规避的途径，实现了期货市场的基本功能。Abstract: Based on the sample data dating from February 2006 to September 2009, as well as futures' data after March 27 2009 of WR0909, the study found that the hot-rolled and WR0909 had a long-term relevance and could be cross-species hedge.The cross-species hedge which uses the law of the same value is adjusted by the optimal hedge ratio.It not only provides a means of risk aversion for the steel enterprises, but also implements the basic functions of futures market.
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Key words:
- steel futures /
- cross-species hedge /
- optimal hedge ratio
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