上证50股指期货套期保值效率研究

发布时间：2018-01-23 14:11

本文关键词： 上证50股指期货套期保值率套期保值效率 B-VAR ECM-BGARCH Ederington　出处：《北京交通大学》2017年硕士论文　论文类型：学位论文

【摘要】：我国A股市场在借鉴发达国家发展股指期货经验的基础上,中国金融期货交易所已经推出了沪深300、中证500和上证50三只股指期货合约,逐步完善我国资本市场的做空操作机制,给我国在资本市场上的投资者带来多元化的投资方式。股指期货作为投资者重要的规避风险的工具,对我国刚刚推出仅1年多的上证50股指期货实际具有的套期保值的效果进行针对性的研究是十分必要的。在理论分析方面,首先对股指期货的套期保值率和套期保值效率进行界定,分析股指期货套期保值的影响因素,并介绍了股指期货前人研究的一些理论基础,从现代组合投资套期保值理论出发,对套期保值进行机理分析,构建套期保值模型,并测算出最优套期保值比率的表达式。本文的研究目的是基于我国推出的上证50股指期货,通过实证的方法检验其是否有套期保值的效果,并对我国A股投资者实现高利低风险的投资方面具有现实价值。在实证方面,采用最小二乘模型(OLS)、误差修正模型(ECM)两个静态模型和向量自回归模型(B-VAR)以及二元向量误差修正广义自回归条件异方差模型(ECM-BGARCH)两个动态模型测算上证50股指期货的最优套期保值率,再进一步采用Ederington模型,对比各种模型所得出的套期保值率,进一步测算出最优套期保值效率。实证分析结果表明,ECM-BGARCH模型的套期保值效率要高于最小二乘模型、误差修正模型、双变量自回归模型,套期保值关系高度有效。上证50股指期货的推出可以帮助我国A股市场投资者降低投资风险程度,但并非复杂的动态模型肯定就比静态的简单模型好,OLS模型的组合收益率标准差最小,在实际运用中,由于0LS简便易操作,对于精准度的需求不是很高的投资者,可以选择简单套保模型。
[Abstract]:A stock market in China based on the experience of developed countries on the development of stock index futures, Chinese financial futures exchange has launched the CSI 300, CSI 500 SSE 50 and three stock index futures contracts, and gradually improve China's capital market shorting mechanism for our country in the capital market investors diversified investment the stock index futures. As an important tool for investors to avoid risk, with the practice of our country has just launched only 1 years of the Shanghai 50 stock index futures hedging effect of targeted research is very necessary. In the theoretical analysis, firstly, the stock index futures hedging ratio and hedging efficiency definition, analysis influence factors of stock index futures hedging, and introduces some basic theory of stock index futures in previous research, starting from the modern investment portfolio theory of hedging, the hedging. Mechanism analysis, construct the hedging model, and calculate the expression of the optimal hedge ratio. The purpose of this paper is China's launch of the Shanghai 50 stock index futures based on the empirical method to test whether the effect of hedging, and has practical value in China A stock investors realize Gregory low risk investment in the empirical aspect, using the least squares (OLS) model, error correction model (ECM) two static model and vector autoregressive model (B-VAR) and a two element vector error correction generalized autoregressive conditional heteroscedasticity (ECM-BGARCH) model two dynamic model to estimate the Shanghai 50 stock index futures optimal hedging rate, further using the Ederington model, the comparison of various models of hedging rate, further calculates the optimal hedging efficiency. The empirical results show that hedging efficiency ECM-BGARCH model Than the least squares model, error correction model, double variable regression models, the hedging relationship is highly effective. The Shanghai 50 stock index futures can help investors in China A stock market to reduce the investment risk, but certainly not the complex dynamic model than the static model, the OLS model of the portfolio returns the minimum standard deviation and in practice, because the 0LS is simple and easy to operate, the precision demand is not high investor, you can choose a simple hedging model.

【学位授予单位】：北京交通大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F224;F724.5

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