开放式基金套期保值策略研究
发布时间：2019-01-05 12:24
【摘要】：沪深300股指期货在我国上市交易已有3年的历史,这期间股指期货一方面作为新兴投资品种活跃在期货投资市场上；另一方面作为现货市场风险规避的工具被广泛所使用。2008年的金融危机及其引发的欧债危机使得全球投资市场顿时危机重重,各种投资工具面临动荡的市场,急需强有效的避险工具。系统性风险占比较高的开放式基金更是如此。因此有必要利用股指期货对开放式基金进行套期保值研究,以降低开放式基金的系统性市场风险。 本文围绕股指期货套期保值策略在开放式基金风险管理中的应用这一主题,选用沪深300股指期货中的IFO1合约对股票型开放式基金——交银成长股票(519692)、兴全全球视野股票(340006))和混合型开放式基金——华夏回报二号混合(002021)、华夏回报混合(002001)进行套期保值研究。该研究的目的在于：一方面检验处于金融危机和欧债危机以及我国市场结构和产业结构大调整环境下的股指期货套期保值策略在基金市场风险管理中的有效性,同时比较静态套期保值策略和动态套期保值策略在套期保值中的优劣；另一方面检验基金类型对套期保值效果的影响,进而希望能够得出一些有意义的结论,为系统性风险占比较高的股票型开放式基金和混合型开放式基金的投资者提供风险规避的借鉴。在具体研究中,文章通过采用三种静态套期保值模型OLS、BVAR、BECM和两种动态套期保值模型BGARCH和ECM-BGARCH计量最优套期保值比率,并利用这些最优套期保值率构建最优套期保值组合,最后衡量和比较各组合的套期保值效果。 经过实证,文章最后得出的结论有：股指期货的套期保值策略可以有效管理开放式基金的市场风险,且动态套期保值策略相对静态套期保值策略并没有明显的优势。然而对于所选的两只混合型基金样本,利用ECM-BGARCH模型进行套期保值的效果相对其他模型要好一些。对于两只股票型基金而言,因无法对其中一只进行GARCH建模,所以没能够鉴别出对股票型开放式基金最优的套期保值策略。同时,文章最后没有得出股指期货因基金类型的不同而套期保值效果不同的结论。
[Abstract]:Shanghai and Shenzhen 300 stock index futures have been listed and traded in China for 3 years. During this period, stock index futures are active in the futures investment market as a new investment variety. On the other hand, as a tool for risk aversion in the spot market, it is widely used. The financial crisis of 2008 and the European debt crisis triggered by the crisis made the global investment market suddenly full of crisis, and various investment instruments were faced with volatile markets. A strong and effective hedge is urgently needed. This is especially true of open-end funds with higher systemic risks. Therefore, it is necessary to use stock index futures to hedge open-end funds in order to reduce the systemic market risk of open-end funds. This paper focuses on the application of hedging strategy of stock index futures in the risk management of open-end funds, and selects the IFO1 contract of Shanghai and Shenzhen 300 stock index futures as a kind of open-end equity fund (519692). Xingquan Global Vision (340006), mixed open-end fund-Huaxia return 2 (002021), Huaxia return mixture (002001) to hedge research. The purpose of this study is to test the effectiveness of hedge strategy of stock index futures in fund market risk management under the circumstances of financial crisis, European debt crisis and adjustment of market structure and industrial structure. At the same time, the static hedging strategy and the dynamic hedging strategy are compared. On the other hand, the influence of fund type on hedging effect is examined, and some meaningful conclusions can be drawn. This paper provides reference for investors of stock open funds and mixed open funds with high systemic risk. In the specific study, the paper uses three static hedging models, OLS,BVAR,BECM and two dynamic hedging models, BGARCH and ECM-BGARCH, to measure the optimal hedging ratio. The optimal hedging ratio is used to construct the optimal hedging portfolio. Finally, the hedging effect of each combination is measured and compared. The conclusion is that the hedging strategy of stock index futures can effectively manage the market risk of open-end funds, and the dynamic hedging strategy has no obvious advantage over static hedging strategy. However, for the two mixed fund samples, the hedging effect of ECM-BGARCH model is better than that of other models. For two equity funds, it is impossible to model one of them by GARCH, so the optimal hedging strategy for equity open-end funds can not be identified. At the same time, the paper does not draw the conclusion that the hedge effect of stock index futures is different because of different fund types.
【学位授予单位】：西北大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51
本文编号：2401781
[Abstract]:Shanghai and Shenzhen 300 stock index futures have been listed and traded in China for 3 years. During this period, stock index futures are active in the futures investment market as a new investment variety. On the other hand, as a tool for risk aversion in the spot market, it is widely used. The financial crisis of 2008 and the European debt crisis triggered by the crisis made the global investment market suddenly full of crisis, and various investment instruments were faced with volatile markets. A strong and effective hedge is urgently needed. This is especially true of open-end funds with higher systemic risks. Therefore, it is necessary to use stock index futures to hedge open-end funds in order to reduce the systemic market risk of open-end funds. This paper focuses on the application of hedging strategy of stock index futures in the risk management of open-end funds, and selects the IFO1 contract of Shanghai and Shenzhen 300 stock index futures as a kind of open-end equity fund (519692). Xingquan Global Vision (340006), mixed open-end fund-Huaxia return 2 (002021), Huaxia return mixture (002001) to hedge research. The purpose of this study is to test the effectiveness of hedge strategy of stock index futures in fund market risk management under the circumstances of financial crisis, European debt crisis and adjustment of market structure and industrial structure. At the same time, the static hedging strategy and the dynamic hedging strategy are compared. On the other hand, the influence of fund type on hedging effect is examined, and some meaningful conclusions can be drawn. This paper provides reference for investors of stock open funds and mixed open funds with high systemic risk. In the specific study, the paper uses three static hedging models, OLS,BVAR,BECM and two dynamic hedging models, BGARCH and ECM-BGARCH, to measure the optimal hedging ratio. The optimal hedging ratio is used to construct the optimal hedging portfolio. Finally, the hedging effect of each combination is measured and compared. The conclusion is that the hedging strategy of stock index futures can effectively manage the market risk of open-end funds, and the dynamic hedging strategy has no obvious advantage over static hedging strategy. However, for the two mixed fund samples, the hedging effect of ECM-BGARCH model is better than that of other models. For two equity funds, it is impossible to model one of them by GARCH, so the optimal hedging strategy for equity open-end funds can not be identified. At the same time, the paper does not draw the conclusion that the hedge effect of stock index futures is different because of different fund types.
【学位授予单位】：西北大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51
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