关键词: 最优套期保值比率, 非对称效应, 基差, 消息

Abstract: We investigates the asymmetric effect of basis and news on the hedging ratio to improve the hedging performance of Chinese agricultural futures. The empirical research based on the spot and futures data of soybean, cotton, sugar and vegetable oil from May 2008 to February 2012 shows that: (1) The logarithmic price of the futures and spots are non-stationary and the co-integrated vectors are all nearly equal to (1, -1), which implies that we should take the basis into consideration for hedging; (2) Evidence is found of asymmetric effects of positive and negative basis and news on the return and the risk structure of spot and futures markets; (3) The in-sample and out-of-sample comparison results indicate that compared to the static models and traditional DCC-GARCH model, the asymmetric effect models provide the best hedging strategy for all products examined, hence it is necessary to consider the asymmetric effects of basis and residuals in the hedging process.

Key words: Hedging Performance, Asymmetric effects, Basis, News