USST_Arts_112540664聚乙烯市场的价格波动特征与套期保值问题研究

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3.0 赵德峰 2024-11-11 5 4 1.94MB 50 页 15积分

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摘要

Lo(2004)在有效市场假说、行为金融学和生物进化论的基础上提出适应性市场

假说，认为金融市场效率随着市场环境的变化动态演化，受其启发，本文将该理

论应用到线性低密度聚乙烯现货市场上，使用滚动方差比和复合方差比相结合的

方法研究了该市场的效率，结果表明现货市场的效率是动态演变的，并非总是处

于有效状态。当市场无效率时处于均值回复过程的时间远远大于均值背离的时间，

表明现货市场的价格背离均值时总是受消息刺激突变的，但是需要较长时间回归

到均值位置。因此生产厂商面临着两种风险，第一是市场风险，该市场价格容易

受到外界因素刺激突变，波动剧烈，从而给生产厂商带来损失；第二是对市场的

认知风险，决策者无法准确的认知市场属于均值背离、均值回归、随机游走中的

哪种状态，三种状态的价格波动特征又完全不同，从而无法做出科学的决策。因

此对该品种的价格波动和套期保值问题进行研究是非常必要的。

接着，本文综合 ST-GARCH 和APARCH 的优点，建立了 ST-APARCH 模型，

并给出两种具体形式 GLST-APARCH 与GEST-APARCH 模型。对线性低密度聚乙

烯现货市场和期货市场的波动特征研究表明，现货市场和期货市场受消息冲击时

有不同的特征，拟合出模型的次幂参数有较大差异，表明现货模型或期货模型中

次幂的设置对套期保值操作的绩效可能会有影响。

考虑到现货与期货的波动具有非对称性，包括单个品种对正负消息反应的非

对称性和交互影响的非对称性；多元波动模型中次幂的设置对套期保值的绩效也

有影响，本文的研究表明选择一次幂形式和二次幂形式的设置是合理的；综上，

共有四种组合形式，仅考虑单品种波动非对称性的 T-DCC 模型和 GJR-DCC 模型，

同时考虑到各品种对正负消息反应的非对称性和交互影响的非对称性的

T-AGDCC 模型和 GJR-AGDCC 模型，应用四种波动模型进行基于最小风险的套期

保值研究，实证结果表明：套期保值未必能够增加投资的收益，但是能够有效降

低现货价格波动的风险；考虑两种非对称特征的模型要比考虑一种非对称特征的

模型表现好；总体来看，对该品种而言，一次幂的设置比二次幂的设置表现好。

关键字：适应性效率 STAPARCH 非对称性套期保值模型 T-AGDCC

GJR-AGDCC

ABSTRACT

Lo (2004) proposed adaptive markets hypothesis on the basis of the efficient

markets hypothesis, behavioral finance and biological evolution, he believes that

financial market efficiency is dynamically evolving as the market environment changes.

Inspired by him, the paper apply the theory in linear low density polyethylene spot

market, using the rolling variance ratio and multiple variance ratio test combined

method to study the efficiency of the market , results show that the efficiency of the spot

market is dynamic and evolving, while not always efficient. When the market is not

efficient, it costs more time in mean reversion process than mean divergence process,

which indicates when the spot market price deviates from the mean value, it is always

stimulated by news mutations, and takes a long time to return to the mean position.

Therefore, manufacturers face two risks, the first is market risk, the spot price is

vulnerable to outside factors to stimulate mutations volatility, which may lead losses to

the manufacturers; The second is market-perceived risk, decision-makers can not

accurately recognize which state market belongs to，mean reversion process，mean

divergence process or random walk process in that, price volatility characteristics of the

three states are completely different, so decision-makers can’t make a scientific decision.

Therefore, to study the price fluctuations and hedging method of LLDPE spot is

necessary.

Then, this paper integrates advantages of APARCH and ST-GARCH model,

establish the ST-APARCH model and give two specific forms, GLST-APARCH and

GEST-APARCH model. Research on the fluctuation characteristics of linear low density

polyethylene spot and futures markets indicates that the spot and futures markets have

different characteristics when affected the impact of news, power fitting parameters of

the model are quite different, indicating that power settings in the hedging model may

affect the he performance of hedging portfolio.

Taking into account the asymmetry fluctuations in spot and future market,

including asymmetry of a single market affected by positive and negative messages and

asymmetry caused by the interaction between different markets. power settings in

multivariate volatility models also affect the performance of the hedging performance,

studies above show that choosing one power and two power in model setting is

reasonable. in summary, there are four forms when combined, T-DCC model and

GJR-DCC model considering volatility asymmetry only in a single commodity,

T-AGDCC model and GJR-AGDCC model when taking into account the asymmetry

under both two conditions, the four models were applied in hedge model which based

on minimal risk principal, empirical results indicates that hedging may not be able to

increase the return on investment, but effectively reduce the risk of fluctuations in the

spot price; models which consider two asymmetric features is much better than models

which only consider one asymmetric feature. For LLDPE commodity, model with one

power settings performances better than two power settings.

Key Word: adaptive efficiency, STAPARCH, asymmetry, long memory,

hedge model, T-AGDCC, GJR-AGDCC

中文摘要

ABSTRACT

第一章绪论 ...................................................... 1

1.1 选题背景 ..................................................... 1

1.2 研究意义 ..................................................... 2

1.3 本领域国内外研究现状述评 ..................................... 3

1.3.1 市场效率理论 ........................................... 3

1.3.2 波动理论 ............................................... 4

1.3.3 套期保值理论 ........................................... 5

1.4 研究内容 ..................................................... 6

第二章常用计量模型述评 ............................................. 8

2.1 动态复合方差比检验 ........................................... 8

2.2 一元波动模型 ................................................. 9

2.2.1 ST-GARCH 模型 ........................................... 9

2.2.2 APARCH 模型 ............................................ 11

2.2.3 ST-APARCH 模型 ......................................... 12

2.3 基于最小风险的套期保值问题 .................................. 13

2.4 与套期保值相关的多元波动模型 ................................ 14

2.4.1 DCC 模型 ............................................... 14

2.4.2 基于 DCC 的改进模型 .................................... 15

第三章 LLDPE 现货市场动态效率研究 .................................. 17

3.1 市场效率的定义 .............................................. 17

3.2 市场效率的检验方法 .......................................... 18

3.3 适应性市场效率与检验方法 .................................... 19

3.4 现货样本选择 ................................................ 19

3.5 现货市场效率检验 ............................................ 20

3.6 结论 ........................................................ 22

第四章 LLDPE 市场波动研究 .......................................... 24

4.1 波动的定义与测度 ............................................ 24

4.2 样本选择 .................................................... 25

4.3 现货价格波动研究 ............................................ 27

4.4 期货价格波动研究 ............................................ 30

4.5 本章小结 .................................................... 31

第五章套期保值问题研究 ............................................ 32

5.1 套期保值的意义 .............................................. 32

5.2 套期保值的理论基础 .......................................... 32

5.3 股指期货与商品期货套期保值的区别 ............................ 33

5.4 基于不同模型的套期保值绩效对比 .............................. 35

5.5 本章小结 .................................................... 38

第六章本文的主要工作及后续工作展望 ................................ 39

6.1 本文的主要工作 .............................................. 39

6.2 本文的创新点 ................................................ 40

6.3 进一步研究的展望 ............................................ 41

参考文献 ........................................................... 42

在读期间公开发表的论文和承担科研项目及取得成果 ..................... 46

致谢 ............................................................. 47

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摘要：

摘?ULo(2004)在有效市场假说、行为金融学和生物进化论的基础上提出适应性市场假说，认为金融市场效率随着市场环境的变化动态演化，受其启发，本文将该理论应用到线性低密度聚乙烯现货市场上，使用滚动方差比和复合方差比相结合的方法研究了该市场的效率，结果表明现货市场的效率是动态演变的，并非总是处于有效状态。当市场无效率时处于均值回复过程的时间远远大于均值背离的时间，表明现货市场的价格背离均值时总是受消息刺激突变的，但是需要较长时间回归到均值位置。因此生产厂商面临着两种风险，第一是市场风险，该市场价格容易受到外界因素刺激突变，波动剧烈，从而给生产厂商带来损失；第二是对市场的认知风险，决策者无法准确的...

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