论文部分内容阅读
随着上海燃料油期货流动性的急剧下降,越来越多的中国企业开始采用国际期货合约作为套期保值工具以规避油价波动风险。为寻找我国企业规避油价风险的最优套期保值策略,本文结合最新数据分析了利用国内外不同能源期货合约的套保比率与绩效。结果表明:采用IPE布伦特或纽约WTI原油期货的套保效果远优于上海燃料油期货;其中,布油期货套保绩效略优于WTI油货但套保比率略高。由此,我国相关企业可根据自身的资金情况进行选择。
With the sharp drop in the liquidity of Shanghai’s fuel oil futures, more and more Chinese enterprises are beginning to adopt international futures contracts as hedging instruments to sidestep the risk of oil price fluctuations. In order to find the optimal hedging strategy for Chinese enterprises to avoid the risk of oil price, this paper analyzes the hedging ratio and performance of using different energy futures contracts at home and abroad with the latest data. The results show that the hedging effect of IPE Brent crude oil or New York WTI crude oil futures is much better than that of Shanghai fuel oil futures; however, the performance of cloth oil futures is better than that of WTI but the hedging ratio is slightly higher. As a result, the relevant enterprises in China can choose according to their own funding.