Study On The Hedging Performance Of Gold Futures In China

As we all know, an important function of the futures market is avoiding risks, while avoiding risks is mainly achieved through hedging. Investors to hedge using futures contracts will face a key question, that is exactly how many positions in the futures contracts used can reasonably avoid the risk held by the spot price. This paper selects the gold futures of China which has just launched over 3 years as a research object, analyzes how to estimate the optimal hedge ratios in the gold futures market.This paper selects 449 data of spot and future prices from the Shanghai Gold Exchange Network and the Futures Exchange Network for research, research has two parts:the first part is that using OLS model, B-VAR model, ECM model and B-GARCH model to estimate the optimal hedge ratios, and regression results were analyzed. The second part is judging the performance of each model and compare them from the point of minimum variance.The results show that:(1) China's gold futures prices and spot prices are very similar, having a correlation coefficient of 0.985187, which illustrates that the use of gold futures to hedge spot gold is entirely possible.(2) There is a significant cointegration relationship between the gold futures prices and spot prices while ignoring this relationship will make the estimated optimal hedge ratio small.(3) By comparing the performance estimated by the models, we can see that as opposed to not participate in hedging, hedging in the gold spot market can avoid the risks of price fluctuations,...