(The Cost of Carry and the Optimal Hedge in Futures Market)

Abstract

Chinese Abstract: 本文应用一种新的套保方法,将套期保值由统计竞技恢复回衍生品定价的金融问题,简化了套保比率的估计,并避免了拼接期货合约等问题。针对黄金、股指、外汇和原油等四大类期货市场的实证研究,我们发现:如果将期货的定价与风险管理割裂开来,忽视期货合约的衍生品本性,各种复杂的套保估计方法,套保效率都不如简单套保;如果将定价理论融入套保实践,通过预测持有成本计算套保比率,套保效果将比简单套保更出色。此外,套保合约的选择方面,简单套保倾向于选择交割日较近的合约,而考虑定价约束的套保新方法,合约的选择不受到期日的影响。因此,套保比率的研究重心应该从期货与现货价格的统计关系转到持有成本的预测上来。 English Abstract: We employ a new method for hedge in futures market. The new method brings futures’ hedge from statistical games back to its original financial nature of derivatives pricing. Thus the estimation of hedge ratio is simplified, and the continuous futures contract is not needed. We carry on an empirical study on gold futures, index futures, British pound GBP futures, and crude oil futures. We find that: If we estimate the hedge ratio using traditional methods, where futures are not treated as financial derivatives, naive hedge outperforms complex models. If the futures pricing theory is taking account when hedging, computing hedge ratio by way of forecasting cost of carry, the hedge effectiveness is higher than naive hedge. Furthermore, naive hedge prefers contracts whose delivery dates are nearby. However, the hedge effectiveness of the new method is not affected by the delivery dates. Thus, the research focus on hedging ratios should shift from the statistical relationship between futures and spot prices to the forecast of cost of carry.