基于VAR的股指期货套期保值比率研究
[Abstract]:As we all know, the stock market is a market where risks are concentrated, so investors need to have a hedge against their assets. Hedging is one of the most important methods to avoid risk. When investors carry out hedging operations, the determination of hedge ratio is the key factor affecting hedging performance. It is the focal point and hot spot of current scholar research. Therefore, this paper focuses on the determination of hedging ratio, and then tests its performance in order to provide a theoretical basis for investors' hedging decisions. This paper gives the theory of hedging ratio and defines the concepts of hedging ratio and hedging ratio. This paper systematically summarizes the general principle of determining the optimal hedging ratio, compares and analyzes the technical method of determining the optimal hedging ratio by using the comparative analysis method, and analyzes the advantages of the VAR model on this basis. This paper uses VAR model to do empirical research. After selecting the model, the paper will estimate the hedge ratio, select Shanghai and Shenzhen 300 index, small and medium-sized board index and growth enterprise board index as hedging objects, respectively. On the basis of the sample data of different hedging periods, the hedging ratio is determined, and on this basis, the performance of hedging is tested by comparative analysis method and model test method. The results show that the higher the correlation with stock index futures, the better hedging performance. After comparing the hedging performance of different markets and different periods, the paper further tests the forecasting function of the model. The test results show that the hedging performance of the out-of-sample data is better than that of the in-sample data. It is proved that the model has strong prediction function. This paper empirically demonstrates the performance of VAR model in different markets, analyzes the scope of application of VAR model, and puts forward the relevant matters needing attention in using this model to provide theoretical basis for investors' hedging decision. To improve the efficiency of China's capital market has played a positive role.
【学位授予单位】:山西财经大学
【学位级别】:硕士
【学位授予年份】:2013
【分类号】:F832.51;F224
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