股指期货套期保值效率比较研究——基于沪深300股指期货与新华富时A5指数期货

发布时间：2018-04-16 19:58

本文选题：股指期货 + 套期保值　；参考：《技术经济与管理研究》2014年10期

【摘要】：文章基于我国股票型基金十大重仓股构建投资组合,并利用沪深300股指期货与新华富时A50指数期货的日数据对这两种股指期货的套期保值效率进行比较研究,以探究两者在套期保值效率上的差异和造成差异产生的原因。在利用OLS、VECM和ECM-BGRACH等静态和动态套期保值模型和基于风险最小化的套期保值绩效指标对沪深300股指期货与新华富时A50指数期货的套期保值效率进行研究后发现,在静态最优套保比、时变最优套保比和套期保值绩效指标的比较中,新华富时A50指数期货都要优于沪深300股指期货。这种套期保值效率上的差异主要来自于两个金融工具间的合约与交易规则的差别。建议通过设立适当时间的晚间电子盘交易,并允许金融机构在规定的份额内进行期指套利交易,以提升沪深300股指期货在套期保值市场功能上的效率。
[Abstract]:This paper is based on the construction of a portfolio of ten heavy-stock stocks in China's stock fund, and makes a comparative study on the hedging efficiency of the two kinds of stock index futures by using the daily data of the Shanghai-Shenzhen 300 stock index futures and the Xinghua FTSE A50 index futures.In order to explore the efficiency of hedging between the two differences and causes of the difference.By using static and dynamic hedging models such as OLSS-VECM and ECM-BGRACH and hedging performance indicators based on risk minimization, the hedging efficiency of Shanghai and Shenzhen 300 stock index futures and Xinghua FTSE A50 index futures is studied.In the comparison of time-varying optimal hedging ratio and hedging performance index, the futures of Xinghua FTSE A50 index are better than that of Shanghai and Shenzhen 300 stock index futures.The difference in hedging efficiency is mainly due to the difference between the contract and trading rules between the two financial instruments.It is suggested that financial institutions should be allowed to carry out futures arbitrage in the specified share by setting up an appropriate time for electronic trading in the evening, so as to improve the efficiency of CSI 300 index futures in the function of hedging market.
【作者单位】：中央财经大学金融学院;
【分类号】：F224;F832.51

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