考虑基差效应的沪深300股指期货对冲比率及其效果研究

发布时间：2018-04-01 11:20

本文选题：对冲比率　切入点：基差　出处：《哈尔滨工业大学》2013年硕士论文

【摘要】：股指期货是金融衍生工具中重要的一种产品，其主要作用是规避风险，在一些经济发达国家，股指期货的发展已经相当成熟。中国作为新兴的资本市场，股市风险较大，以前没有有效的避险工具，投资者的风险完全裸露，，这就造成了投资者们利益的损失，也影响到了我国金融市场的稳定发展。为了缓解这一状况，中国金融期货交易所于2010年4月16日正式推出沪深300股指期货合约。沪深300股指期货的上市，改变了中国境内不能卖空的状况，使得股票投资者有更多的避险模式。目前只有机构投资者才能对沪深300股指期货进行交易，如何有效地运用沪深300股指期货合约进行对冲是一个迫切和必要的研究课题。本文通过大量的文献研究，总结了考虑基差效应的对冲理论及模型的发展。同时，在借鉴前人模型的基础上，考虑了GARCH模型中条件方差模型必须为正的特征，在多元GARCH模型中加入了正负基差及正负基差的平方项作为外生变量，用来计算考虑基差效应的沪深300股指期货最优对冲比率。并选取2010年4月16日至2012年12月21日，沪深300股指期货、沪深300股票指数每日结算价和收盘价各655个数据，进行对冲比率的计算及对冲效果的检验。在进行对冲效果验证时，通过选取不同的对冲期限，比较了考虑基差效应和没有考虑基差效应的对冲效果。结果显示：基差对于沪深300股指期货及现货的对数价格影响不显著，对于对数收益影响显著；考虑基差效应的沪深300股指期货的对冲效果要优于没有考虑基差效应的对冲效果，但这种优势不明显，随着对冲时间的增加，考虑基差效应的沪深300股指期货的对冲效果与没有考虑基差效应的对冲效果趋于一致。从结论中可以得到如下启示：短期的对冲者在计算最优对冲比率时，应考虑基差效应；对冲期限较长的投资者，即使不考虑基差效应，也可以得到较好的对冲效果。
[Abstract]:Stock index futures is an important product of financial derivatives, whose main function is to avoid risks. In some developed countries, the development of stock index futures is quite mature. As a new capital market, the stock market in China is riskier. In the past, there were no effective hedging tools, and investors' risks were completely exposed, which resulted in the loss of investors' interests and also affected the stable development of our financial market. In order to alleviate this situation, The CSI 300 stock index futures contract was officially launched by the China Financial Futures Exchange on April 16, 2010. The listing of the CSI 300 stock index futures has changed the situation in which short selling cannot be done in China. At present, only institutional investors can trade the stock index futures of Shanghai and Shenzhen 300. It is an urgent and necessary research topic how to use the futures contract of Shanghai and Shenzhen 300 stock index to hedge effectively. In this paper, the development of hedging theory and model considering basis effect is summarized through a large number of literature studies. At the same time, based on the previous models, the characteristic that conditional variance model must be positive in GARCH model is considered. In the multivariate GARCH model, the positive and negative basis and the square of the positive and negative basis are added as exogenous variables to calculate the optimal hedge ratio of CSI 300 stock index futures considering the basis effect, and the optimal hedging ratio is chosen from April 16, 2010 to December 21, 2012. The Shanghai and Shenzhen 300 stock index futures, the daily settlement price and the closing price of the Shanghai-Shenzhen 300 stock index are calculated to calculate the hedge ratio and the hedge effect is tested. When the hedging effect is verified, different hedging periods are selected. The effect of hedging considering base effect and not considering base effect is compared. The results show that the base difference has no significant effect on the logarithmic price of Shanghai and Shenzhen 300 stock index futures and spot stock index, but has a significant effect on the logarithmic return. The hedge effect of CSI 300 stock index futures considering base effect is better than that without base effect, but this advantage is not obvious, with the increase of hedging time, The hedging effect of CSI 300 stock index futures considering base effect is consistent with that of CSI 300 stock index futures without basis effect. The following revelations can be drawn from the conclusion: Short-term hedgers should consider the basis effect when calculating the optimal hedge ratio; Investors with long-term hedging can get better hedging effect even if the basis effect is not considered.
【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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