基于投资者情绪的股指期货套期保值策略研究

发布时间：2018-04-19 16:01

本文选题：投资者情绪 + 沪深300股指期货　；参考：《华南理工大学》2016年硕士论文

【摘要】：传统的股指期货套期保值理论认为投资者是理性的,在进行股指期货套期保值相关研究时假设投资者都是一类人,而近年来行为金融学不断完善发展,大量的研究都证实投资者情绪对于股指期货市场具有不可忽视的影响,因而在进行股指期货的套期保值过程中考虑股指期货情绪更加符合实际情况,能够更好地规避股票格波动的风险。本文在研究过程中,首先总结了国内外关于股指期货套期保值的理论和模型的相关文献后,对其进行简单评述,说明B-VAR模型、ECM模型和GARCH模型是现今进行股指期货套期保值策略研究运用较为广泛的模型;第二,对投资者情绪及其在金融市场上的影响进行分析,本文选取成交量指标(TV)、持仓量指标(OI)、多空不均衡指标(BSI)和心理线指标(PSY)四个指标运用主成分法构造股指期货情绪;第三,对股指期货的概念、发展历程以及其功能等进行简述,并简单分析沪深300股指期货套期保值的操作流程,认为套期保值比率的确定是套期保值的关键;第四,选取2010年4月16日至2014年9月30日沪深300股票价格指数和股指期货日收盘价数据进行处理,根据计算出的股指期货情绪将数据分为投资者情绪高涨和情绪低落两组,并采取三个模型分别对两组数据进行实证研究,对其套期保值效果进行评价,结论表明无论在投资者情绪高涨还是情绪低落时,ECM模型更加适合计算我国沪深300股指期货市场的最优套期保值比率,并且在投资者情绪高涨时期运用ECM模型进行最优套期保值比率计算的效果要优于投资者情绪低落时期。本文为投资者在不同情绪状态下进行股指期货套期保值提供参考,以期能够更好地规避股票价格波动风险。
[Abstract]:The traditional hedging theory of stock index futures holds that investors are rational. In the research on hedging of stock index futures, it is assumed that investors are all one kind of people, but in recent years, behavioral finance has been improving and developing.A large number of studies have confirmed that investor sentiment has a significant impact on the stock index futures market, so it is more realistic to consider the stock index futures sentiment in the hedging process of stock index futures.Can better avoid the risk of stock fluctuations.In the course of the research, this paper firstly summarizes the relevant literature about the theory and model of stock index futures hedging at home and abroad, and then makes a brief comment on the theory and model of stock index futures hedging.It shows that B-VAR model and GARCH model are widely used models to study the hedging strategy of stock index futures. Secondly, this paper analyzes investor sentiment and its influence on financial market.In this paper, four indexes, I. e., turnover index (TVB), position index (OI), multispace disequilibrium index (BSI) and psychological index (PSYY), are selected to construct stock index futures emotion by principal component method. Thirdly, the concept, development course and function of stock index futures are briefly described.And a brief analysis of the Shanghai and Shenzhen 300 stock index futures hedging operation process, think that the determination of hedging ratio is the key to hedging; fourth,From April 16, 2010 to September 30, 2014, the data of Shanghai and Shenzhen 300 stock price index and the daily closing price of stock index futures are processed. According to the calculated index futures sentiment, the data are divided into two groups: high and low investor sentiment.Three models were used to evaluate the hedging effect of the two groups of data.The conclusion shows that the ECM model is more suitable for calculating the optimal hedging ratio of the Shanghai and Shenzhen 300 stock index futures market when the investor sentiment is high or low.And the effect of calculating the optimal hedge ratio by using ECM model in the period of high investor sentiment is better than that in the period of investor depression.This paper provides a reference for investors to hedge stock index futures in different mood states in order to avoid the risk of stock price fluctuation better.
【学位授予单位】：华南理工大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F224;F724.5

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