Study On The Choice Of The Ratio Of Gold Futures Hedging In China

Gold as the world's currency,has an extremely important position in the financial market.Fluctuations in gold prices have an important impact on the macroeconomic and financial sectors.For the gold market participants,gold futures market is to avoid the risk of fluctuations in the price of gold is one of the best places,with the continuous development of economic globalization,financial derivatives market,gold futures market has become the gold market participants are risk averse choice.In order to make the risk of the futures market to avoid the effect of the best,you need to hedge the risk of its own.The reasonable use of hedging tools,understanding the principles of hedging,looking for appropriate hedge ratio is very important.Hedging is the enterprise in the process of operation,to avoid the risk of price fluctuations in the spot market with the futures market,mainly through the same variety,the number of the same and opposite position in the futures market and spot market to achieve.The operation of this theory is based on the premise that the futures market and the spot market are affected by the same factors and have the same price fluctuation trend.However,in the actual transaction process,the fluctuation trend of the spot price and the futures price is not exactly the same,the hedging portfolio investors by cash and futures in proportion to avoid risks,therefore,it is important to determine the spot and futures hedging ratio.There are many researches on hedging risk of domestic and foreign scholars,hedge ratio can have a variety of methods,such as least squares method to solve time series autocorrelation problem and heteroscedasticity B-VAR model,GARCH model and cointegration relationship and time-varying ECM-GARCH model together.The above methods and models have advantages and disadvantages,and there is no definite conclusion to measure the optimal ratio of hedge.China's gold futures market opened late,since 2007,only less than 10 years,for the study of hedging risk gold futures market is still relatively small,and more to stay in the theoretical level,less data analysis,the research on the optimal hedging ratio is also more use of foreign financial model.In addition,due to the special status of gold in the financial market and the global market,the risk aversion of the gold futures market is particularly important.This paper aims at the application of certain mathematical methods,on China's gold futures market,calculated by different daily and weekly data under the model of China's gold futures hedging ratio,and puts forward some reasonable suggestions on the risk management of gold futures market.