股票型基金利用股指期货的套期保值功能相关问题研究

发布时间：2018-01-13 02:29

本文关键词：股票型基金利用股指期货的套期保值功能相关问题研究　出处：《贵州财经大学》2012年硕士论文　论文类型：学位论文

【摘要】：股指期货作为专为管理股票市场系统性风险而设计的金融衍生产品,最早由美国堪萨斯期货交易所于1981年推出,经过30多年的发展,目前已逐渐成为金融市场上最受青睐、最具活力的避险工具。2010年4月16日,沪深300股指期货在我国金融期货交易所正式推出,标志着我国股票市场没有有效避险工具历史的结束,同时也改变了作为我国股票市场机构投资者代表的股票型基金长期无有效卖空工具的被动局面。工欲善其事必先利其器,利用股指期货进行避险活动并非易事,有效吸收和借鉴股指期货起步较早的西方国家关于套期保值的理论和实践,在我国推出股指期货伊始,尤显必要和急迫。同时,由于现阶段股指期货交易规则的不完善和市场管理经验等的不足,我国针对股票型基金参与股指期货交易出台了一系列限制性规定,因此,结合相关规定,研究其对我国基金利用股指期货套期保值效果的影响,实现基金资产风险对冲,确保基金资产的保值增值意义重大。本文的研究内容主要包括以下几个方面。首先,本文简要介绍了套期保值的相关概念和理论,并在此基础上运用我国股指期货的实际交易数据,利用多个估计套期保值比率的回归模型实证比较它们估计套期保值比率的效率,力求为我国股票型基金在进行套期保值时选择套期保值估价模型提供参考。其次,研究和讨论了股指期货的推出对我国股票型基金在资产管理、资产组合、基金风格和内部风险控制等方面的影响。再次,结合我国股票市场和股指期货市场现有条件和规章制度,研究和讨论了我国股票型基金利用股指期货套期保值时可能遇到的相关问题。比如,我国基金在进行套期保值时将面临股指期货产品单一的问题,针对这一问题,本文运用实证的方法建立多个套期保值标的物,对基金资产组合进行套期保值实证分析,目的是从实证的角度讨论我国是否应该推出新的股指期货产品以求更好地为基金套期保值服务；我国股指期货市场中存在的另一个问题就是基金在进行套期保值时会受一些市场规则限制,对此,本文结合《证券投资基金投资股指期货指引》的相关规定分析股票型基金怎样在该规定下利用沪深300股指期货对基金资产进行套期保值,并分析在《证券投资基金投资股指期货指引》下,基金对其资产进行套期保值所可能产生的风险。另外,文章还对基金在套期保值中面临的基差风险、流动性风险等进行了探讨。最后,本文提出了有关股票型基金利用股指期货进行套期保值方面的政策建议,以求为我国基金业的发展贡献自己的绵薄之力。
[Abstract]:Stock index futures, as a financial derivative designed to manage systemic risk in stock market, was first launched by Kansas Futures Exchange in 1981. It has been developed for more than 30 years. At present, it has gradually become the most favored and dynamic hedge tool in the financial market. In April 16th 2010, the Shanghai and Shenzhen 300 stock index futures were officially launched in China's financial futures exchange. It marks the end of the history of China's stock market without effective hedging tools. At the same time, it also changes the passive situation that the stock fund, which is the representative of institutional investors in our stock market, has no effective short selling tool for a long time. It is necessary and urgent to absorb and learn from the theory and practice of hedging in the western countries where stock index futures started earlier, especially at the beginning of the introduction of stock index futures in China. Due to the imperfect trading rules of stock index futures and the lack of market management experience at the present stage, a series of restrictive regulations have been issued for the participation of equity funds in stock index futures trading. Therefore, combined with the relevant provisions. It is of great significance to study its influence on the hedge effect of fund using stock index futures, to hedge the risk of fund assets and to ensure the maintenance and appreciation of fund assets. This paper mainly includes the following aspects. Firstly, this paper briefly introduces the concept and theory of hedging, and on this basis uses the actual trading data of China's stock index futures. Using multiple regression models to estimate the hedge ratio, the efficiency of their estimation is compared empirically. This paper tries to provide a reference for China's equity funds to select hedging and valuation model when hedging. Secondly, the introduction of stock index futures on asset management and portfolio of equity funds in China is studied and discussed. Fund style and internal risk control and other aspects of the impact. Thirdly, combined with the existing conditions and regulations of the stock market and stock index futures market. This paper studies and discusses the related problems that may be encountered when the equity funds in China use stock index futures to hedge. For example, Chinese funds will face the problem of single stock index futures products when they hedge. In order to solve this problem, this paper uses the empirical method to establish a number of hedging subject matter, and carries on the empirical analysis to the fund portfolio hedging. The purpose is to discuss whether our country should launch new stock index futures products from the empirical point of view in order to better serve the fund hedging; Another problem in China's stock index futures market is that funds will be restricted by some market rules when hedging. This paper analyzes how to use CSI 300 stock index futures to hedge fund assets under the relevant regulations of Securities Investment Fund Investment Index Futures. The paper also analyzes the risk that the fund may have to hedge its assets under the "Securities Investment Fund Investment Index Futures Guide". In addition, the paper also analyzes the risk of the fund in hedging. Finally, the paper puts forward some policy suggestions on the use of stock index futures for hedging in order to contribute to the development of China's fund industry.
【学位授予单位】：贵州财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.5

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