基于ECM-GARCH模型的华夏沪深300指数基金套期保值研究

发布时间：2018-06-22 05:55

本文选题：华夏沪深300指数基金 + 投资风险　；参考：《广东财经大学》2013年硕士论文

【摘要】：指数基金是以跟踪目标指数的收益为目标的基金，即它是以目标指数的成份股来构建投资组合的基金，以期获得与所跟踪的指数相似的收益率。在投资策略的选择上，，指数基金采取的是被动的投资策略，由于它的投资组合是采取跟踪指数的，因此它所构建的是充分分散化的投资组合，所以能够有效地规避个股的非系统性风险，但它还面临着系统性风险，因此它并不能有效地避免系统性风险，而随着我国沪深300股指期货的推出，利用其对指数基金进行有效的套期保值已经成为了可能。华夏沪深300指数基金采取复制沪深300指数的方法，追求对标的指数的有效跟踪，获得与标的指数收益相似的回报及适当的其他收益。本文从华夏沪深300指数基金的角度来进行研究，由于华夏沪深300指数基金是跟踪沪深300指数的，所以其收益率与沪深300指数的收益率应该是强相关的，那么利用沪深300股指期货来进行套期保值以规避投资风险的效果应该是挺高的，而且当股票组合与沪深300指数的相关性越强时，其套期保值效果应该越好，为了得到这一结论，本文将选取另外3只指数基金与华夏沪深300指数基金进行比较分析，利用ECM-GARCH模型来计算其最优套期保值率，通过比较分析及实证分析来得到相关结论。随着越来越多的投资者参与到指数基金投资当中，研究如何客观有效地对我国指数基金进行风险管理无疑具有重要的理论和实践意义。
[Abstract]:Index fund is a fund that aims to track the return of the target index, that is, it is a fund that uses the component stocks of the target index to construct a portfolio, in order to obtain a similar rate of return to the index being tracked. In the choice of investment strategy, the index fund adopts a passive investment strategy, because its portfolio is used to track the index, so it constructs a fully decentralized investment portfolio. So it can effectively avoid the non-systemic risk of individual stock, but it also faces systemic risk, so it can not effectively avoid systemic risk, and with the introduction of Shanghai and Shenzhen 300 stock index futures, It is possible to use it to hedge index funds effectively. The Huaxia CSI 300 index fund adopts the method of copying the CSI 300 index to pursue the effective tracking of the underlying index and to obtain the return similar to the return of the underlying index and other appropriate returns. From the perspective of Huaxia Shanghai and Shenzhen 300 index funds, this paper makes a study. Because the Huaxia Shanghai and Shenzhen 300 index funds track the Shanghai and Shenzhen 300 indexes, the return rate of the Huaxia Shanghai and Shenzhen 300 index should be strongly related to the return rate of the Shanghai and Shenzhen 300 index. Well, the effect of hedging Shanghai and Shenzhen 300 stock index futures to avoid investment risk should be very high. Moreover, the stronger the correlation between the stock portfolio and the CSI 300 index, the better the hedging effect should be. In order to get this conclusion, In this paper, three other index funds and Huaxia Shanghai and Shenzhen 300 index funds are selected for comparative analysis. The ECM-GARCH model is used to calculate the optimal hedging rate, and the relevant conclusions are obtained through comparative analysis and empirical analysis. With more and more investors participating in the index fund investment, it is undoubtedly of great theoretical and practical significance to study how to objectively and effectively manage the risk of the index fund in our country.
【学位授予单位】：广东财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F830.42

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