Research On Risks Of Hedging In Commercial Futures Market In China

As the means to avoid price risks,hedging is the driving force of the development of futures market,however, it can't transfer the risks absolutely,and the futures basis affect the hedging rusults.In recent years, hedging risk cases have occurred frequently in China's futures market,and it indicates that there isn't enough research on the futures basis risks and there is defect in the assessment and management systemof basis risks.Therefore, it is significant to research on the factors which affect futures basis.Firstly,this paper described the theory of hedging and the premise,and analyized the resource of hedging,then pointed out that the substance of hedging risk is basis risk; On the base of the research of foreign scholars,the paper analyzed the factors which affect futures basis, they are summarized as follows:the macro market environment, the market funds to manipulate market and the microstructure of market.etc; then from the Chinese market and hedging situation,we do the research on the risk of the hedge in China.The paper tade Dalian soybean futures for example,compared the basis of hedging in China's futures markets with the mature market, concluded that the basis of China's futures market is more volatile than mature markets. Established models, then use Eviews software to make regression analysis to identify significant factors which affect futures basis, At last,the paper put forward to recommendations to avoid risks of hedging.