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计算套期保值有效性传统的方法是通过以现货价格的变化和期货价格的变化为变量建立回归方程的方法来决定套期保值比率,从而计算其有效性。其有效性一般可用回归方程中的拟合优度R2来表示(吴冲锋,2000)。实证研究证明,套期保值的有效性随着投资时间的延长而提高。关于这个问题在
The traditional method of calculating the validity of hedging is to calculate the validity of the hedging ratio by determining the regression equation by taking the change of the spot price and the change of the futures price as variables. Its validity can generally be expressed by the goodness of fit R2 in the regression equation (Wu et al., 2000). Empirical studies show that the effectiveness of hedging increases with investment time. About this problem