| 我国期货价格与现货价格的相关性分析--以铜和棉花为例 |
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| 引用本文： | 程淑芳,单鸣雷.我国期货价格与现货价格的相关性分析--以铜和棉花为例[J].河海大学常州分校学报,2006,20(2):11-14. |
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| 作者姓名： | 程淑芳 单鸣雷 |
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| 作者单位： | 1. 河海大学,商学院,江苏,常州,213022
2. 河海大学,计算机及信息工程学院,江苏,常州,213022 |
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| 摘 要： | 为了对我国期货套期保值的有效性问题进行实证研究,采用SPSS软件对我国期货市场上发展相对较成熟的铜期货和相对不成熟的棉花期货进行回归分析.分析结果表明铜期货的套期保值效果较好,棉花期货的稍差,两者的套期保值比均在1.00上下较窄的范围内浮动.认为套期保值在我国期货市场是有效的.最后结合我国期货市场发展的现状,分析了铜和棉花2种期货品种套期保值效果不一致的原因.
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| 关 键 词： | 期货价格 现货价格 套期保值 实证分析 |
| 文章编号： | 1009-1130(2006)02-0011-04 |
| 修稿时间： | 2005年10月13 |
Correlative Analysis on the Futures Prices and Spot Prices in China: Taking Copper and Cotton for Example |
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| CHENG Shu-fang,SHAN Ming-lei.Correlative Analysis on the Futures Prices and Spot Prices in China: Taking Copper and Cotton for Example[J].Journal of Hohai University Changzhou,2006,20(2):11-14. |
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| Authors: | CHENG Shu-fang SHAN Ming-lei |
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| Abstract: | In order to study the effectiveness of futures hedge in China,a regression analysis of the mature copper futures and immature cotton futures by SPSS is made.It is found that the hedge of copper futures is good and that of cotton futures is poor,with the hedge ratio floating within a small range around 1.00.It is believed that the futures hedge is effective in our futures market.By considering the current situation of futures market in China,the reason for different hedge effects of the copper and cotton futures is analyzed. |
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| Keywords: | futures prices spot prices hedge empirical analysis |
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