Abstract
In this paper, on the one hand, we need to prove that there is a cointegration relationship between copper futures price and spot price. Then, using the ECM model to estimate the optimal hedging resale value of copper futures contract in our country, it is based on the frequency statistics method, the optimal hedging strategy, the approach does not consider the existence of risk estimation, and the most natural way to solve this problem is the bayesian method. So, on the other hand, we are under the bayesian framework, Gibbs sampling method is used to the Chinese copper futures market, the optimal hedging strategy has carried on the empirical analysis. By comparing the hedging efficiency, the result of hedging based on Bayesian statistics is better than that based on frequency statistics.
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