沪深300指数期货最优套期保值比率的计算

发布时间：2018-11-21 18:17

【摘要】：作为期货交易的一种类型，股指期货交易与普通商品期货交易具有基本相同的特征和流程。股指期货是一种杠杆性投资工具，只要判断方向正确，就可能获得很高的收益，投资者主要用它来对股票投资组合进行风险管理，即防范系统性风险(我们平常所说的大盘风险)，或进行套利以获得无风险收益。套期保值是期货产生的根源，套保策略也是股指期货最根本的策略之一，，通过使用股指期货交易与一定的股票现货组合进行对冲，从而来规避现货市场的价格风险，如果期货头寸能够较好地与现货相匹配，则套期保值交易就能够消除现货市场的大部分系统性风险。而对股指期货进行套期保值的关键就是要确定套期保值比率。现代最优套期保值比率的研究主要有两种，一个是风险最小化套期保值比率，另一个是效用最大化套期保值比率。用来估计套期保值比率的模型主要以普通最小二乘回归模型(OLS)、向量自回归模型(VAR)、基于协整关系的误差修正模型(ECM)、向量误差修正模型(VECM)、广义自回归条件异方差模型(GARCH)、以及误差修正GARCH模型(ECM-GARCH)等为代表。 2010年4月16日，我国的股指期货在经历了3年多的仿真交易后，终于迎来了正式上市交易。本文基于沪深300指数现货与期货的实际交易数据，运用Eviews5.0统计软件采用ECM-GARCH模型和均值－方差模型分别对风险最小化套期保值比率和效用最大化套期保值比率进行估计，发现无论是在样本内还是在样本外，风险最小化套期保值比率都高于效用最大化套期保值比率。
[Abstract]:As a type of futures trading, stock index futures trading and general commodity futures trading have the same characteristics and processes. Stock index futures is a leveraged investment tool. As long as it is judged in the right direction, it is likely to yield a very high return. Investors mainly use it to manage the risk of the stock portfolio. That is to guard against systemic risk (what we commonly call market risk) or arbitrage to gain risk-free returns. Hedging is the origin of futures, and hedging strategy is also one of the most fundamental strategies of stock index futures. By using stock index futures to hedge with a certain portfolio of stocks, we can avoid the price risk in the spot market. If futures positions match well with spot, hedging can eliminate most of the systemic risk in the spot market. The key to hedge stock index futures is to determine the hedge ratio. There are two kinds of research on modern optimal hedging ratio, one is risk minimization hedge ratio, the other is utility maximization hedging ratio. The model used to estimate hedging ratio is mainly (OLS), vector autoregressive model (VAR), based on cointegration error correction model (ECM), vector error correction model (VECM), Generalized autoregressive conditional heteroscedasticity model (GARCH),) and error modified GARCH model (ECM-GARCH) are represented. On April 16, 2010, after more than three years of simulated trading, China's stock index futures finally ushered in a formal listing transaction. Based on the actual trading data of Shanghai and Shenzhen 300 index spot and futures, this paper estimates the risk minimization hedging ratio and utility maximization hedging ratio by using ECM-GARCH model and mean-variance model using Eviews5.0 statistical software. It is found that the risk minimization hedging ratio is higher than the utility maximization hedging ratio both within and outside the sample.
【学位授予单位】：西安建筑科技大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.51

【参考文献】