交易成本对股指期货套期保值比率的影响研究

发布时间：2018-03-20 23:25

本文选题：沪深300股指期货　切入点：套期保值比率　出处：《青岛大学》2012年硕士论文　论文类型：学位论文

【摘要】：2010年4月16日,股指期货在中国金融期货交易所正式挂牌交易,作为现代社会非常重要的金融衍生品,股指期货自问世以来一直在金融市场中发挥着无可替代的作用。股指期货主要有两大功能：价格发现和套期保值,其中套期保值的关键是套期保值比率的确定,套期保值比率是套期保值者在建立交易头寸时所确定的期货合约的总价值与所保值的现货合同总价值之间的比值。但是,利用股指期货进行套期保值需要花费一定的成本,包括直接费用、间接费用和资金占用成本,它们对套期保值比率有着重要的影响,进而影响股指期货套期保值的效果。本文针对交易成本对股指期货套期保值比率的影响这一问题进行了理论概括,运用我国沪深300现货指数和沪深300股指期货数据对这一问题进行了实证研究。在实证研究过程中,首先通过简单套期保值模型、OLS模型、ECM模型和GARCH模型得出不同的套期保值比率,利用HE指标对这四个模型得出的不同套期保值比率进行了套保绩效评价。然后,把交易成本这一要素考虑进来,运用修正的HE指标对这四个模型得出的不同套期保值比率进行了套保绩效评价,通过HE指标和修正的HE指标得出的不同结果作对比,得出交易成本对套期保值比率的影响,并建议股指期货套期保值者根据自身的交易成本情况选择不同的套期保值比率,当交易成本低时,应该选择动态套保模型所得到的套期保值比率,当交易成本高时,应该选择静态套保模型所得到的套期保值比率。
[Abstract]:In April 16th 2010, stock index futures were officially listed and traded on the China Financial Futures Exchange, which is a very important financial derivative in modern society. Stock index futures have been playing an irreplaceable role in the financial market since their inception. Stock index futures have two main functions: price discovery and hedging, in which the key to hedging is the determination of hedging ratios. The hedge ratio is the ratio between the total value of the futures contract and the total value of the spot contract that the hedger determines when establishing a trading position. Including direct cost, indirect charge and capital occupation cost, they have important influence on hedge ratio, and then affect the effect of stock index futures hedging. In this paper, the influence of transaction cost on the hedge ratio of stock index futures is summarized theoretically. This paper makes an empirical study on this problem by using the spot index of CSI 300 and the data of CSI 300 stock index futures. In the process of empirical research, different hedging ratios are obtained through the simple hedging model, OLS model, ECM model and GARCH model. He index is used to evaluate the hedge performance of the four models. Then, the transaction cost is taken into account. By using the modified HE index to evaluate the performance of the four models, the paper compares the different results between the HE index and the modified HE index, and draws the conclusion that the effect of transaction cost on the hedge ratio. It is suggested that stock index futures hedgers choose different hedging ratios according to their transaction costs. When transaction costs are low, the hedge ratios obtained by dynamic hedging models should be chosen, and when transaction costs are high, We should select the hedge ratio obtained from the static hedging model.
【学位授予单位】：青岛大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.5;F224

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