Regression Model for China´s Gold Futures Hedging Ratio and Function

This paper investigates the hedging ratio and function of China´s gold futures in a certain period of time. Traditional regression model and minimum variance ratio as the main method are used in the paper in order to draw the conclusion. A series of data are used to verify the effectiveness of this method. Empirical results show that china´s gold futures market has a rather high capability to reduce the risks which is brought by price fluctuation. In additon, from the research, it can be seen that using assets´ yield rates tends to be more effective than using assets´ closing price in hedging.