股指期货在我国开放式基金中的套期保值效果研究

发布时间：2018-10-10 07:22

【摘要】：2011年,欧洲爆发主权债务危机,股市连连受挫,但股指期货等金融衍生产品市场不但没有萎缩,交易量反而再创新高,反映了金融动荡背景下市场对避险需求的急剧增加,股指期货对化解市场风险起了积极作用。截至2012年4月,我国推出股指期货已有两年时问,沪深300指数期货在我国开放式基金的风险管理中通过套期保值交易能发挥多大的作用以及如何更好地发挥作用,是一个值得研究的问题。本文正是在这样的背景下在第三部分通过分析沪深300指数期货的推出对我国开放式基金管理的意义以及沪深300指数期货的运行现状,说明我国已经具备了运用股指期货对开放式基金进行套期保值的良好的市场基础。第四部分在套期保值理论的基础上采用沪深300指数期货实际交易数据做实证分析,从而比较运用静态套期保值模型和动态套期保值模型计算的最优套期保值比率以及不同期限和不同样本区间的保值绩效,进而发现在我国运用股指期货套期保值能规避大部分系统性风险,不同模型的套期保值效果差别不大,动态套期保值策略不一定优于静态套期保值策略。第五第六部分分析我国开放式基金运用股指期货进行套期保值的风险及操作障碍,借鉴美国共同基金运用股指期货的经验,一是为我国开放式基金的管理者提供参考,二是为完善我国股指期货套期保值交易机制提供建议。
[Abstract]:In 2011, the sovereign debt crisis broke out in Europe, and the stock market suffered a series of setbacks. However, the market for financial derivatives such as stock index futures did not shrink, but the volume of trading volume reached a new high again, reflecting the sharp increase in the demand for safe haven in the market against the backdrop of financial turmoil. Stock index futures played a positive role in defusing market risks. As of April 2012, it has been two years since the launch of stock index futures in China, asking how much the CSI 300 index futures can play through hedging transactions in the risk management of open-end funds in China and how to play a better role. It is a problem worth studying. In the third part, this paper analyzes the significance of the introduction of CSI 300 index futures to the management of open-end funds in China and the current operation of CSI 300 index futures. It shows that China already has a good market basis for hedging open-end funds by using stock index futures. In the fourth part, based on the theory of hedging, the actual trading data of Shanghai and Shenzhen 300 index futures are used for empirical analysis. Thus, the optimal hedge ratio calculated by static hedging model and dynamic hedging model and the performance of different periods and sample intervals are compared. Furthermore, it is found that the use of stock index futures hedging can avoid most systemic risks in China, and the hedging effect of different models is not different, and dynamic hedging strategy is not necessarily superior to static hedging strategy. The fifth and sixth part analyzes the risks and operational obstacles of using stock index futures to hedge in China's open-end funds, and draws lessons from the experience of American mutual funds in using stock index futures. The first part is to provide reference for the managers of open-end funds in China. Second, to improve China's stock index futures hedging mechanism to provide advice.
【学位授予单位】：广西大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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