价格异常与不对称相关结构下套期保值策略——来自亚洲股指期货市场的实证

发布时间：2018-05-15 17:12

本文选题：极端价格 + 预期　；参考：《证券市场导报》2010年04期

【摘要】：在不对称相关结构下,尾部区域期货和现货价格联动模式异常复杂,传统套期保值策略在极端价格行为下将不可避免地出现系统性偏差。为此,恰当的连接函数被引入描述尾部区域的价格联动模式,依据MV框架构建局部套期保值策略,以解决极端价格行为下的套期保值问题。对亚洲市场日经指数和恒生指数期货套期保值的实证研究表明:(1)采用Rotated Gumbel连接函数,在传统MV策略(全局策略)下,虽然在降低套保组合方差方面没有明显优势,但日经指数和恒生指数期货的套期保值成本将显著下降,套保组合收益/组合方差的比率显著上升;(2)如果套期保值者能够对未来形成可靠预期,套期保值的成本将进一步下降,并且现货价格风险也得到有效控制。
[Abstract]:Under the asymmetric correlation structure, the tail region futures and spot price linkage mode is extremely complex, the traditional hedging strategy will inevitably appear systematic deviation under extreme price behavior. Therefore, the proper connection function is introduced to describe the price linkage model of the tail region, and the partial hedging strategy is constructed according to the MV framework to solve the problem of hedging under extreme price behavior. An empirical study on the futures hedging of Nikkei index and Hang Seng Index in Asian market shows that: 1) using Rotated Gumbel connection function, under the traditional MV strategy (global strategy), although there is no obvious advantage in reducing the variance of hedging portfolio, However, the hedging costs of the Nikkei and Hang Seng Index futures will decrease significantly, and the ratio of return to variance of the hedging portfolio will increase significantly.) if the hedgers can form a reliable expectation for the future, the cost of hedging will further decrease. And spot price risk is also effectively controlled.
【作者单位】：深圳大学经济学院;
【基金】：广东省自然科学基金博士科研启动项目资助(项目编号:7301669)
【分类号】：F830.91;F224

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