Comparative Study On Hedging Effectiveness Of Chinese And Japanese Natural Rubber Futures

With the rapid development of Chinese economy, especially the growing of tire and automobile industry, the problems including natural rubber in short supply, a serious shortage of domestic self-sufficiency and high dependence are highlighting year by year. And after years of development, the trading volume and amount of Chinese natural rubber futures are far more than Japanese, the international influence of Chinese natural rubber futures market is rising steadily around the world. Therefore, the rational use of natural rubber futures to hedge has become an indispensable means for many domestic enterprises.How to determine the hedge ratio is the key for hedging, domestic and foreign scholars have invented a lot of quantitative methods in this research field. On the basis of the previous research, this article uses the index data of Chinese and Japanese natural rubber futures, and the spot market price data of Thai STR20, selects some traditional hedging models such as OLS, BVAR, VECM and MVGARCH, and various types of static and dynamic Copula-GARCH model, then makes a contrastive study on the hedging effectiveness of Chinese and Japanese natural rubber futures.The results show that:(1) Chinese natural rubber futures can provide the hedging effectiveness up to71%, significantly higher than the53%in Japanese rubber futures.(2) BEKK-GARCH model obtains the highest hedging effectiveness in both the futures markets, but the hedging effectiveness of VECM-MVGARCH models show no significant improvement; all three traditional static models(OLS, BVAR and VECM) have no significant difference in hedge ratio and hedging effectiveness; although Copula models are better in theory, actually get relatively poor hedging effectiveness.(3) For asymmetric functions such as the Gumbel, Clayton and SJC Copula, selecting the tail dependence coefficient to estimate the hedge ratio instead of the Pearson correlation coefficient is more accurate.