What features of cash and futures prices...

题目

What features of cash and futures prices tend to make hedging possible?

选项

A.They always move together in the same direction and by the same amount.

B.They move in opposite directions by the same amount.

C.They tend to move together generally in the same direction and by the same amount.

D.They move in the same direction by different amounts.

答案

C

解析

Effective hedging is possible because of the strong (and positive) correlation between movements in cash prices and futures prices. 题目问的是现货和期货对冲的话，价格最好有怎样的特点？最好是期货价与现货价变化大致大小相同，这样才好有效对冲。如果有效对冲，那么现货和用于对冲的期货（这里已经进行了数量调整）未来的变动方向和趋势是趋于一致的。想要用期货对冲现货，最好基差风险足够低，即现货价格的波动与期货价格的波动近乎相同，在实际市场中，不是那么完美的，所以只需要达到tendto就可以了，不大可能always，所以A的说法太过绝对。有效对冲是指R^2趋近于1，不是等于1.