本文選題：股指期貨 + 套期保值��； 參考：《湖南大學(xué)》2012年碩士論文

【摘要】：最優(yōu)套期保值策略一直是股指期貨套期保值研究領(lǐng)域最為重要的課題之一，其效果主要取決于套期保值比率估計(jì)的精確程度。本文針對股指期貨和股票現(xiàn)貨收益特征及其相關(guān)特征，構(gòu)建了MRSD Copula函數(shù)的GJR-Skew-t模型，用以估計(jì)股指期貨與指數(shù)現(xiàn)貨之間的最小方差套期保值比率。 本文以香港、日本、新加坡、韓國和臺灣5個亞洲證券市場的股指期貨和股票現(xiàn)貨作為研究對象，首先根據(jù)股指期貨與股票現(xiàn)貨收益所存在的有偏、尖峰厚尾分布以及非對稱波動特征，構(gòu)建GJR-skewed-t模型對股指期貨與股票現(xiàn)貨收益的條件波動率進(jìn)行估計(jì)，并確定其具體邊際分布。然后，利用各個市場累積分布函數(shù)值序列對MRSD Copula模型進(jìn)行估計(jì)，從而得到基于MRSD Normal Copu-la-GJR模型條件下股指期貨與股票現(xiàn)貨收益的聯(lián)合分布，進(jìn)而計(jì)算出最優(yōu)套期保值比率。最后，依據(jù)基于MRSD Normal Copula-GJR模型以及其它模型的套期保值比率，對各模型的套期保值績效進(jìn)行對比分析。 研究結(jié)果表明，，動態(tài)套期保值模型的風(fēng)險(xiǎn)規(guī)避效果明顯優(yōu)于靜態(tài)模型；根據(jù)套期保值組合方差降低百分比，基于MRSD Normal Copula-GJR模型的套期保值效果比其它動態(tài)策略有顯著提升；除新加坡市場外，基于MRSD Copula函數(shù)的套期保值模型可以獲得比傳統(tǒng)模型更高的收益，這意味著該策略模型有助于降低套期保值成本。
[Abstract]:Optimal hedging strategy has always been one of the most important topics in the field of stock index futures hedging. Its effect mainly depends on the accuracy of hedge ratio estimation. In this paper, according to the characteristics of stock index futures and stock spot returns and their related characteristics, a GJR-Skew-t model of MRSD Copula function is constructed to estimate the minimum variance hedge ratio between stock index futures and index spot. This paper takes stock index futures and stock spot in five Asian stock markets of Hong Kong, Japan, Singapore, South Korea and Taiwan as research objects. Firstly, according to the bias between stock index futures and stock spot returns, The GJR-skewed-t model is constructed to estimate the conditional volatility of stock index futures and stock spot returns and to determine the specific marginal distribution. Then, the MRSD Copula model is estimated by using each market cumulative distribution function sequence, and the joint distribution of stock index futures and stock spot returns is obtained based on MRSD Normal Copu-la-GJR model, and the optimal hedging ratio is calculated. Finally, according to the hedge ratio based on MRSD Normal Copula-GJR model and other models, the hedging performance of each model is compared and analyzed. The results show that the risk avoidance effect of dynamic hedging model is obviously better than that of static model, and the hedge effect based on MRSD Normal Copula-GJR model is significantly improved compared with other dynamic strategies according to the percentage of variance reduction of hedging portfolio. In addition to the Singapore market, the hedging model based on the MRSD Copula function can achieve higher returns than the traditional model, which means that the strategy model can help to reduce the hedging cost.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F830.91;F224

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1 張成龍;;期貨市場期貨價(jià)格與現(xiàn)貨價(jià)格關(guān)系的協(xié)整分析——以上海期貨市場的期銅為例[J];江蘇科技大學(xué)學(xué)報(bào)(社會科學(xué)版);2006年01期

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