沪深300股指期货对开放式基金套期保值研究

发布时间：2018-01-02 13:06

本文关键词：沪深300股指期货对开放式基金套期保值研究　出处：《东北大学》2013年硕士论文　论文类型：学位论文

【摘要】：金融危机阶段性的爆发使得投资者越来越重视规避风险,套期保值已经成为新型的避险工具。我国沪深300股指期货2010年推出,依然处在萌芽期,但股指期货为投资者找到了将风险转嫁的机会。开放式基金推出以来,展现了迅猛的势头,由于开放式基金固有的特点,投资者越来越喜欢投资于开放式基金,而开放式基金系统性风险是通过政治,经济等外界环境因素来影响价格,因此无法使用投资组合的方式有效规避。如何规避开放式基金系统性风险,已经成为基金市场的当务之急,所以本文利用沪深300股指期货对开放式基金进行套期保值,测算套期保值比率以及套期保值效果。本文主要根据OLS, ECM, BGARCH, ECM-BGARCH和修正的ECM-BGARCH模型对15支有代表性的开放式基金(5支股票型基,5支指数型基金,5支混合型基金)进行套期保值,计算出最优套期保值比率,并根据最优套期保值比率衡量套期保值的效果,实证结果表明利用股指期货对开放式基金进行套期保值可以大大降低风险,套期保值的效果是显著的,五种模型下的套期保值效率均在90%以上,通过对比,指数型基金的套期保值效果优于股票型基金与混合型基金的套期保值效果,由于指数型基金可以有效的跟踪指数,股指期货也是与指数走势密切相关,所以指数型基金与股指期货进行对冲可以达到完美的契合,指数型基金的套期保值效率可以达到98%之上。在套期保值模型选择上,BGARCH模型的套期保值效率高于其它四种模型,所以在我国现阶段BGARCH模型是最适合我国现期开放式基金套期保值的模型。投资者可以利用股指期货对开放式基金进行套期保值,尤其指数型基金,可以大大规避系统性风险,保证投资者收益。
[Abstract]:The outbreak of the financial crisis has made investors pay more and more attention to risk avoidance, hedging has become a new hedge tool. China's Shanghai and Shenzhen 300 stock index futures launched in 2010, is still in its infancy. But stock index futures for investors to find the opportunity to transfer risk. Since the introduction of open-end funds, showing a rapid momentum, because of the inherent characteristics of open-end funds, investors more and more like to invest in open-end funds. However, the systemic risk of open-end funds is influenced by external environmental factors such as politics, economy and so on, so it is impossible to avoid the systematic risk of open-end funds by the way of investment portfolio. Has become the top priority of the fund market, so this paper use Shanghai and Shenzhen 300 stock index futures to hedge open-end funds, calculate the hedge ratio and hedging effect. This paper mainly based on OLS. ECM, BGARCH, ECM-BGARCH and the modified ECM-BGARCH model were applied to 15 representative open-end funds, including 5 equity funds and 5 index funds. Five hybrid funds) to hedge, calculate the optimal hedge ratio, and according to the optimal hedge ratio to measure the effectiveness of hedging. Empirical results show that the use of stock index futures to hedge open-end funds can greatly reduce the risk, hedging effect is significant, five models of hedging efficiency are above 90%, through comparison. The hedge effect of index fund is better than that of stock fund and mixed fund. Because index fund can track index effectively, stock index futures is closely related to the trend of index. Therefore, index funds and stock index futures hedging can achieve a perfect agreement, index funds hedging efficiency can reach 98%. In the hedging model selection. The hedging efficiency of BGARCH model is higher than that of other four models. Therefore, at the present stage of China, BGARCH model is the most suitable model for China's current open-end fund hedging. Investors can use stock index futures to hedge open-end funds, especially index funds. Can avoid systematic risk greatly, guarantee investor income.
【学位授予单位】：东北大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F724.5

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