生猪期货套期保值绩效实证分析摘要中国是猪肉产销大国，维持猪肉的供需平衡和价格稳定对我国国民的经济和生活是非常重要的。近几年，新冠肺炎疫情的爆发以及非洲猪瘟的蔓延使得我国生猪产业面临较为严峻的价格风险，急需对其进行有效的风险规避，因此，以套期保值为功能的期货市场备受关注。由于生猪期货上市较晚，国内对生猪期货的研究还停滞在价格发现居多，缺乏对生猪期货套期保值效果的认识和评价，所以本文以生猪期货为研究对象对其套期保值绩效进行研究，为生猪产业利用生猪期货合理规避风险提供认识和参考。本文先对套期保值理论发展及研究背景进行了梳理；接着对相关概念及估计模型进行了概述；最后将生猪期货现货价格处理得到的对数收益率序列作为分析变量，多方选用OLS、ECM、VAR、GARCH等计量模型测算套保比率，基于最小风险评估法对其套保效果进行评估。本文研究发现，生猪期、现市场具有高度的相关性，且时序数据较平稳，可进行套期保值操作，并且进行套保操作都能在一定程度上降低组合的风险水平。本文实证结果显示：OLS模型的套保效果和规避风险的能力最好，因此，套保者在进行生猪期货套期保值的操作时，可选择OLS模型估算最优套保比率，以望达到最好的套保效果，此发现对我国民生物价的稳定性提供一定的效用。关键词：生猪期货；套期保值；OLS模型；绩效分析；EmpiricalAnalysisonhedgingperformanceofpigfuturesAbstractChinaisamajorproducerandmarketerofpork.MaintainingthebalancebetweensupplyanddemandandpricestabilityofporkisveryimportanttoChina'snationaleconomyandlife.Inrecentyears,covid-19outbreakandthespreadofAfricanswinefeverhavemadeChina'spigindustryfacemoreseverepricerisk.Itisurgenttoavoidriskeffectively.Therefore,thefuturesmarketwithhedgingfunctionhasattractedmuchattention.Duetothelatelistingofpigfutures,thedomesticresearchonpigfuturesisstillstagnantinpricediscovery,andthereisalackofunderstandingandevaluationofthehedgingeffectofpigfutures.Therefore,thispapertakespigfuturesastheresearchobjecttostudyitshedgingperformance,soastoprovideunderstandingandreferenceforthepigindustrytousepigfuturestoreasonablyavoidrisks.Firstly,thispapercombsthedevelopmentandresearchbackgroundofhedgingtheory;Thenitsummarizestherelatedconceptsandestimationmodels;Finally,takingthelogarithmicyieldseriesobtainedfromthespotpriceprocessingofpigfuturesastheanalysisvariable,wechooseOLS,ECM,VAR,GARCHandothermeasurementmodelstocalculatethehedgingratio,andevaluateitshedgingeffectbasedontheminimumriskassessmentmethod.Thisstudyfoundthatthepigmarketandthecurrentmarkethaveahighcorrelation,andthetimeseriesdataarerelativelystable.Hedgingoperationcanbecarriedout,andhedgingoperationcanreducetheriskleveloftheportfoliotoacertainextent.TheempiricalresultsshowthatOLSmodelhasthebesthedgingeffectandriskaversionability.Therefore,whenhedgingpigfutures,hedgerscanchooseOLSmodeltoestimatetheoptimalhedgingratioinordertoachievethebesthedgingeffect.Thisfindingprovidesacertainutilityforthestabilityofpeople'slivelihoodpricesinChina.Keywords:Pigfutures;Hedging;OLSmodel;Performanceanalysis;目录一、引言.........................................................................................................................................................1（一）研究背景.........................................................................................................................................1（二）研究目的与意义.............................................................................................................................21、研究目的............................................................
