Research On Hedging Of Futures Black Industry Chain

The essential function of Commodity Futures Trading is to realize the price and avoid risk of it.After the institution of Dalian Commodity Exchange primarily sale and coal and Iron ore contract in 2013,it has formed the industrial chain of black metal futures in our country,Combined with the steel products of Shanghai futures exchange,The futures black chain of China's coal,coke and steel industry chain is constructed,it provided an effective way for realizing the price and avoid risk of it in real economy.Recently,black products futures marketing increasing,price range increasing,especially in Reform of the supply front,how should using futures market avoiding price risk,controlling risk exposure and realize optimal hedge in Coal coke steel industry.In academic research,hedge research focus on single item or link between relative items hedge optimal ratio,less effect of hedging on the correlation among different varieties.In this case,the thesis covers 4 varieties of black industry chain,built portfolio theory in hedge ratio with demonstration;it also supplies train of thought about how to avoid risk and refines hedge strategy in products of production chain.The thesis is based on 4 varieties in black industry chain,analyses the price degree of correlation in the case of actual production.Using hedge theories,relies on copulas connection function median theorem,measured the correlation coefficient of goods in stock and Futures,and disposed the portfolio return time series by using GARCH model.Considering effectively and disposed the financial time series' characteristics of obvious'peak and fat tails gather the time-varying and fluctuations.Then depend on the minimum variance theory,calculated the single variety of hedging ratio,and be verified by the empirical analysis.Secondary,further researched in varieties of multiple related comprehensive hedging strategies and models,a comprehensive hedging based on varieties of correlation is constructed,and researched one spot variety and 4 futures varieties in black industry chain.Explained many kinds of the cross section of futures hedging principle,the superposition principle of risk and yield dynamic wave principle,dynamic predicting the Yield variance covariance by using Multivariate GARCH-BEKK model,further improved the calculation precision of dynamic hedging portfolio model.Through the empirical test,it shows the more effect Model,the more effectively the hedging gains,distracted the price risk.Finally,according to the principle of model design,Hedging approach to actual industry chain enterprises are discussed in this thesis.