【摘要】 基差的非对称性对于套期保值策略选择具有十分重要的理论和实践意义.本文提出把基差分解为正、负基差项引入DCC-BGARCH模型研究非对称效应,并同时考虑正基差与负基差对期现货收益、波动及相关性的影响.实证结果显示:1)基差仅对期货收益有显著影响,说明期货与现货的短期偏离主要是通过期货市场进行调整;基差对期货收益具有非对称效应,负基差比正基差影响显著.2)基差对期货与现货价格波动及相关性的影响具有非对称效应,负基差的影响明显大于正基差.3)考虑基差非对称效应的动态套保策略比其他模型有更好的套保效果.研究结论对套期保值者在面临基差变动时选择最佳套保策略具有一定的指导意义.更多还原

【Abstract】 Better understandings of the basis asymmetry would be significant for hedging strategies both practically and theoretically.This paper attempts to solve base asymmetry by decomposing the basis into two components: negative one and positive one.A modified DCC-BGARCH model is proposed to investigate the basis asymmetry,and the empirical results demonstrate: the basis only has significant effect on futures returns,indicating the short-term deviation between the futures and the spots is corrected through the futures market adjustment;the negative basis dominates over the positive basis in future returns,indicating the basis asymmetry.Second,the volatility and correlation between the futures and spots are investigated,and the results demonstrate the basis asymmetry as the negative basis is more significant than the positive basis.Finally,better hedging performance is obtained when taking into consideration the basis asymmetry.These results are suggestive for hedgers when selecting the best hedging strategy in face of basis risk.更多还原