基于远期溢价原则的人民币条件套保绩效研究
发布时间：2018-07-28 12:41
【摘要】：本文从中国投资者视角出发,运用汇改前后数据考察了对发达国家股票投资组合实施货币套保策略的绩效,包括选择性和大升水两个基于远期溢价原则的条件套保策略、以及不套保和完全套保两个基本策略。研究结果发现:自人民币汇率形成机制改革以来,无论是从各国投资的单位风险收益指标、还是从投资组合的效率前沿分布来看,基于远期溢价原则的条件套保策略均显著优于不套保和完全套保策略。上述结果表明,在人民币持续升值背景下,随着即期外汇市场有效性的增强,应用远期溢价条件套保策略管理国际化投资的汇率风险是一种可行的方法。
[Abstract]:From the perspective of Chinese investors, this paper uses the data before and after the exchange rate reform to investigate the performance of currency hedging strategy in the stock portfolio of developed countries, including two conditional hedging strategies based on forward premium principle. And the two basic strategies of non-hedging and complete hedging. The results show that since the reform of RMB exchange rate formation mechanism, whether from the unit risk return index of each country investment or from the forward distribution of investment portfolio efficiency, The conditional hedging strategy based on forward premium principle is significantly better than that of non-hedging and complete hedging. The above results show that under the background of continuous appreciation of RMB and with the enhancement of the effectiveness of spot foreign exchange market, it is a feasible method to use forward premium condition hedging strategy to manage the exchange rate risk of international investment.
【作者单位】： 同济大学经济与管理学院;
【基金】：上海市社科规划青年项目(2009EJB006)
【分类号】：F832.52;F224
本文编号：2150173
[Abstract]:From the perspective of Chinese investors, this paper uses the data before and after the exchange rate reform to investigate the performance of currency hedging strategy in the stock portfolio of developed countries, including two conditional hedging strategies based on forward premium principle. And the two basic strategies of non-hedging and complete hedging. The results show that since the reform of RMB exchange rate formation mechanism, whether from the unit risk return index of each country investment or from the forward distribution of investment portfolio efficiency, The conditional hedging strategy based on forward premium principle is significantly better than that of non-hedging and complete hedging. The above results show that under the background of continuous appreciation of RMB and with the enhancement of the effectiveness of spot foreign exchange market, it is a feasible method to use forward premium condition hedging strategy to manage the exchange rate risk of international investment.
【作者单位】： 同济大学经济与管理学院;
【基金】：上海市社科规划青年项目(2009EJB006)
【分类号】：F832.52;F224
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