本文關鍵詞：滬深300股指期貨對開放式基金套期保值研究　出處：《東北大學》2013年碩士論文　論文類型：學位論文

  更多相關文章： 套期保值 開放式基金 股指期貨 最優(yōu)套期保值比率 套期保值效率

【摘要】：金融危機階段性的爆發(fā)使得投資者越來越重視規(guī)避風險,套期保值已經(jīng)成為新型的避險工具。我國滬深300股指期貨2010年推出,依然處在萌芽期,但股指期貨為投資者找到了將風險轉嫁的機會。開放式基金推出以來,展現(xiàn)了迅猛的勢頭,由于開放式基金固有的特點,投資者越來越喜歡投資于開放式基金,而開放式基金系統(tǒng)性風險是通過政治,經(jīng)濟等外界環(huán)境因素來影響價格,因此無法使用投資組合的方式有效規(guī)避。如何規(guī)避開放式基金系統(tǒng)性風險,已經(jīng)成為基金市場的當務之急,所以本文利用滬深300股指期貨對開放式基金進行套期保值,測算套期保值比率以及套期保值效果。本文主要根據(jù)OLS, ECM, BGARCH, ECM-BGARCH和修正的ECM-BGARCH模型對15支有代表性的開放式基金(5支股票型基,5支指數(shù)型基金,5支混合型基金)進行套期保值,計算出最優(yōu)套期保值比率,并根據(jù)最優(yōu)套期保值比率衡量套期保值的效果,實證結果表明利用股指期貨對開放式基金進行套期保值可以大大降低風險,套期保值的效果是顯著的,五種模型下的套期保值效率均在90%以上,通過對比,指數(shù)型基金的套期保值效果優(yōu)于股票型基金與混合型基金的套期保值效果,由于指數(shù)型基金可以有效的跟蹤指數(shù),股指期貨也是與指數(shù)走勢密切相關,所以指數(shù)型基金與股指期貨進行對沖可以達到完美的契合,指數(shù)型基金的套期保值效率可以達到98%之上。在套期保值模型選擇上,BGARCH模型的套期保值效率高于其它四種模型,所以在我國現(xiàn)階段BGARCH模型是最適合我國現(xiàn)期開放式基金套期保值的模型。投資者可以利用股指期貨對開放式基金進行套期保值,尤其指數(shù)型基金,可以大大規(guī)避系統(tǒng)性風險,保證投資者收益。
[Abstract]:The outbreak of the financial crisis has made investors pay more and more attention to risk avoidance, hedging has become a new hedge tool. China's Shanghai and Shenzhen 300 stock index futures launched in 2010, is still in its infancy. But stock index futures for investors to find the opportunity to transfer risk. Since the introduction of open-end funds, showing a rapid momentum, because of the inherent characteristics of open-end funds, investors more and more like to invest in open-end funds. However, the systemic risk of open-end funds is influenced by external environmental factors such as politics, economy and so on, so it is impossible to avoid the systematic risk of open-end funds by the way of investment portfolio. Has become the top priority of the fund market, so this paper use Shanghai and Shenzhen 300 stock index futures to hedge open-end funds, calculate the hedge ratio and hedging effect. This paper mainly based on OLS. ECM, BGARCH, ECM-BGARCH and the modified ECM-BGARCH model were applied to 15 representative open-end funds, including 5 equity funds and 5 index funds. Five hybrid funds) to hedge, calculate the optimal hedge ratio, and according to the optimal hedge ratio to measure the effectiveness of hedging. Empirical results show that the use of stock index futures to hedge open-end funds can greatly reduce the risk, hedging effect is significant, five models of hedging efficiency are above 90%, through comparison. The hedge effect of index fund is better than that of stock fund and mixed fund. Because index fund can track index effectively, stock index futures is closely related to the trend of index. Therefore, index funds and stock index futures hedging can achieve a perfect agreement, index funds hedging efficiency can reach 98%. In the hedging model selection. The hedging efficiency of BGARCH model is higher than that of other four models. Therefore, at the present stage of China, BGARCH model is the most suitable model for China's current open-end fund hedging. Investors can use stock index futures to hedge open-end funds, especially index funds. Can avoid systematic risk greatly, guarantee investor income.
【學位授予單位】：東北大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F724.5

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本文編號：1369338