股指期货套期保值比率实证研究

发布时间：2018-01-13 11:33

本文关键词：股指期货套期保值比率实证研究　出处：《华南理工大学》2011年硕士论文　论文类型：学位论文

【摘要】：股票市场的风险包括系统风险和非系统风险,非系统风险可以通过分散投资加以回避,而股指期货则是防范系统性风险的最佳工具。股指期货的主要用途包括:套期保值、套利和杠杆性投资工具,其中,套期保值是最基本也是最主要的功能,是大多数投资者进行股票风险管理的重要手段,但股指期货套保的有效性在很大程度上取决于套期保值的比率,因此,套期保值比率的确定成为股指期货套期保值理论研究的核心问题。我国沪深300股指期货于2006年10月30日开始在中国金融期货交易所进行仿真交易,经过3年多的时间,已于2010年4月16日正式上市交易。因此,针对沪深300指数期货的套保比率进行个性化研究,是近几年期货研究的热点课题。本文以沪深300指数期货为研究对象,从静态和动态的套期保值模型出发,寻找较优的股指期货套期保值比率的确定方法,用以估计最小风险套期保值比率,为投资者利用沪深300股指期货进行套期保值提供更好的理论与实践的指导。本文静态套保模型主要采用了最小二乘回归模型(OLS),双变量向量自回归模型(B-VAR)和误差修正模型(ECM),而动态套保模型主要采用了广义自回归条件异方差模型(GARCH)和误差修正GARCH模型(ECM-GARCH)。同时对各个套期保值模型的实证效果进行比较,其中,静态模型效果较好的是OLS,而动态模型GARCH和ECM-GARCH的效果均优于OLS。此外,本文还研究了股指期货推出对我国股票现货市场短期和长期的波动性影响,它有助于人们正确认识股指期货与股票市场的关系,从而能够正确应对股指期货和股票市场的相关变化。通过TARCH和EGARCH模型实证分析结果表明,股指期货在短期内会引起股市的波动,但长期对现货市场的波动性没有较大影响,同时股指期货弱化了现货市场的非对称效应;通过格兰杰因果检验、脉冲响应函数和预测误差方差分解三个方法共同分析证明了股灾时期,股指期货不是现货产生瀑布效应的原因。
[Abstract]:The risk of stock market includes systematic risk and non-systematic risk, which can be avoided by diversification. Stock index futures is the best tool to prevent systemic risk. The main uses of stock index futures include: hedging, arbitrage and leveraged investment tools, in which hedging is the most basic and the most important function. It is an important means for most investors to carry out stock risk management, but the effectiveness of hedging of stock index futures depends to a large extent on the ratio of hedging. The determination of hedging ratio has become the core issue in the theoretical study of stock index futures hedging. China's Shanghai and Shenzhen 300 stock index futures began in October 30th 2006 in the China Financial Futures Exchange for simulation trading, after more than three years. It has been listed and traded on April 16th 2010. Therefore, a personalized study on hedging ratio of CSI 300 index futures has been carried out. It is a hot topic of futures research in recent years. Based on the static and dynamic hedging model, this paper takes CSI 300 index futures as the research object to find a better method to determine the hedge ratio of stock index futures. It can be used to estimate the minimum risk hedge ratio and provide better theoretical and practical guidance for investors to use the Shanghai and Shenzhen 300 stock index futures to hedge. In this paper, we mainly use the least square regression model, the bivariate vector autoregressive model and the error correction model (ECM). The dynamic hedging model mainly adopts the generalized autoregressive conditional heteroscedasticity model (GARCH) and the error modified GARCH model (ECM-GARCH). At the same time, the empirical effects of each hedging model are compared. The effect of static model is better than that of dynamic model GARCH and ECM-GARCH. In addition, this paper also studies the impact of the introduction of stock index futures on the short-term and long-term volatility of China's stock spot market, which is helpful to understand the relationship between stock index futures and stock market. Through TARCH and EGARCH model empirical analysis results show that stock index futures will cause volatility in the short term. However, there is no significant effect on the volatility of spot market for a long time, and stock index futures weaken the asymmetric effect of spot market. By Granger causality test, impulse response function and variance decomposition of prediction error, it is proved that stock index futures are not the cause of the waterfall effect in stock market.
【学位授予单位】：华南理工大学
【学位级别】：硕士
【学位授予年份】：2011
【分类号】：O211.67;F224;F832.5

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