The Research On Hedging Effectiveness Of Rubber Futures In China

Natural rubber futures since its listing in Japan in1952, experienced a longperiod of steady development. Currently, the Singapore Exchange, CommodityExchange in Japan, the Thai agricultural Exchange and the Shanghai Futures Exchangeis the worlds most important natural rubber futures market. Especially with the rapiddevelopment of Chinas futures market, the size and influence of Shanghai naturalrubber futures market has been significantly improved. At present, the Shanghairubber futures trading volume ranking the first in the worlds natural rubber futures.From the size of the market, trading volume and liquidity, Hujiao futures have fullybeyond the Tokyo market, which laid the foundation for the international pricing ofnatural rubber, and so has a more important significance to study domestic Hujiaospot and futures.China from the90s of the last century, to explore the establishment of a futuresmarket, hedging function, has been as important to avoid a large number of risk toolsand use all kinds of enterprises, investment and investors in the hedge on commodityor asset, will sale of a certain percentage of the futures contracts. Differentproportions of the futures contracts, the different hedging effect, because thefutures price and the spot price volatility is not exactly the same. Therefore, todetermine the optimal hedge ratio facing hedge portfolio risk minimization hasbecome an extremely important issue of corporate hedging operation, determine the optimal hedge ratio is also hedging theory and the key point of the study.Based on the above points for Shanghai rubber futures and spot price studyusing the OLS model estimated hedge ratio BEEK-GARCH model reuse multivariateGARCH model, the CCC-MVGARCH model, DCC-MVGARCH model on the spot Futuresdaily yield study to estimate the optimal hedge ratio. Found that the different modelsestimated portfolio gains rates with risk aversion degree. Application of static OLSmodel estimated hedge ratio hedge worse than not hedging portfolio standard,which is to circumvent the ability of risk, and the application of a dynamic modelestimated hedge ratio to make the corresponding hedging models are better than norisk-averse ability to hedge or OLS model, and further, the best dynamic DCC-GARCHmodel risk aversion ability. Multivariate dynamic models to arrive at to study hedgeratio has a relatively good advantage. These studies can provide valuable marketinformation, market participants futures regulatory authorities is very meaningful.