中国沪深300股指期货最优套期保值率的实证研究

发布时间：2018-01-08 15:09

本文关键词：中国沪深300股指期货最优套期保值率的实证研究　出处：《南开大学》2013年硕士论文　论文类型：学位论文

【摘要】：作为金融期货的重要品种之一,股指期货在当前金融衍生品交易中占据了重要地位。如何测算出最优的套期保值比率,进而利用股指期货进行风险对冲,不论是对于投资者还是学术研究者都极具现实意义,特别是面对我国股市系统性风险高、股指期货市场刚刚起步的现状,因地、因时制宜地分析、选取适用于我国沪深300股指期货投资的量化模型就显得更为重要。本文基于股指期货套期保值比率研究的国内外主要成果,利用资产组合理论框架下的不同模型,如OLS、B-VAR、ECM、GARCH等,对沪深300股指期货2010年至2012年的三个样本区间进行了比率测算,并将测算结果用于样本区间的下一年度交易数据,进而得出该比率的套期保值绩效,通过将测算比率与绩效结果进行横向和纵向分析,本文得到量化模型在我国期货交易中适用度正在不断提高,B-VAR、 ECM、GARCH模型表现要优于OLS的结论,同时这也对这三年我国股指期货市场的成熟度演化给予了验证,针对投资者应不应该选择量化模型进行投资分析、选择何种模型的问题给出了相关意见和建议。
[Abstract]:As one of the important varieties of financial futures, stock index futures play an important role in the current financial derivatives trading. How to calculate the optimal hedge ratio and then use stock index futures to hedge risks. Both for investors and academic researchers are of great practical significance, especially in the face of the high systemic risk of China's stock market, stock index futures market has just started, because of the local, according to the circumstances of the analysis. It is even more important to select the quantitative model suitable for the investment of Shanghai and Shenzhen 300 stock index futures. This paper is based on the main achievements of the research on the hedge ratio of stock index futures at home and abroad. Different models under the framework of portfolio theory, such as OLSS-B-VARA ECM GARCH and so on, are used. This paper calculates the ratio of three sample intervals of Shanghai and Shenzhen 300 stock index futures from 2010 to 2012, and applies the results to the next year trading data of the sample range. Through the horizontal and vertical analysis of the ratio and performance results, this paper obtains that the quantitative model is improving the applicability of B-VAR in futures trading in China. The performance of ECM GARCH model is better than that of OLS, and it also verifies the maturity evolution of China's stock index futures market in the past three years. According to whether investors should choose the quantitative model to carry on the investment analysis, this paper gives the related opinions and suggestions on which model to choose.
【学位授予单位】：南开大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F724.5;F224

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