發(fā)布時(shí)間：2018-01-13 02:29

  本文關(guān)鍵詞：股票型基金利用股指期貨的套期保值功能相關(guān)問題研究　出處：《貴州財(cái)經(jīng)大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 股票型基金 股指期貨 套期保值 最優(yōu)套期保值比率 套期保值效果套期保值風(fēng)險(xiǎn)

【摘要】：股指期貨作為專為管理股票市場系統(tǒng)性風(fēng)險(xiǎn)而設(shè)計(jì)的金融衍生產(chǎn)品,最早由美國堪薩斯期貨交易所于1981年推出,經(jīng)過30多年的發(fā)展,目前已逐漸成為金融市場上最受青睞、最具活力的避險(xiǎn)工具。2010年4月16日,滬深300股指期貨在我國金融期貨交易所正式推出,標(biāo)志著我國股票市場沒有有效避險(xiǎn)工具歷史的結(jié)束,同時(shí)也改變了作為我國股票市場機(jī)構(gòu)投資者代表的股票型基金長期無有效賣空工具的被動(dòng)局面。工欲善其事必先利其器,利用股指期貨進(jìn)行避險(xiǎn)活動(dòng)并非易事,有效吸收和借鑒股指期貨起步較早的西方國家關(guān)于套期保值的理論和實(shí)踐,在我國推出股指期貨伊始,尤顯必要和急迫。同時(shí),由于現(xiàn)階段股指期貨交易規(guī)則的不完善和市場管理經(jīng)驗(yàn)等的不足,我國針對股票型基金參與股指期貨交易出臺了一系列限制性規(guī)定,因此,結(jié)合相關(guān)規(guī)定,研究其對我國基金利用股指期貨套期保值效果的影響,實(shí)現(xiàn)基金資產(chǎn)風(fēng)險(xiǎn)對沖,確�；鹳Y產(chǎn)的保值增值意義重大。 本文的研究內(nèi)容主要包括以下幾個(gè)方面。首先,本文簡要介紹了套期保值的相關(guān)概念和理論,并在此基礎(chǔ)上運(yùn)用我國股指期貨的實(shí)際交易數(shù)據(jù),利用多個(gè)估計(jì)套期保值比率的回歸模型實(shí)證比較它們估計(jì)套期保值比率的效率,力求為我國股票型基金在進(jìn)行套期保值時(shí)選擇套期保值估價(jià)模型提供參考。其次,研究和討論了股指期貨的推出對我國股票型基金在資產(chǎn)管理、資產(chǎn)組合、基金風(fēng)格和內(nèi)部風(fēng)險(xiǎn)控制等方面的影響。再次,結(jié)合我國股票市場和股指期貨市場現(xiàn)有條件和規(guī)章制度,研究和討論了我國股票型基金利用股指期貨套期保值時(shí)可能遇到的相關(guān)問題。比如,我國基金在進(jìn)行套期保值時(shí)將面臨股指期貨產(chǎn)品單一的問題,針對這一問題,本文運(yùn)用實(shí)證的方法建立多個(gè)套期保值標(biāo)的物,對基金資產(chǎn)組合進(jìn)行套期保值實(shí)證分析,目的是從實(shí)證的角度討論我國是否應(yīng)該推出新的股指期貨產(chǎn)品以求更好地為基金套期保值服務(wù)；我國股指期貨市場中存在的另一個(gè)問題就是基金在進(jìn)行套期保值時(shí)會受一些市場規(guī)則限制,對此,本文結(jié)合《證券投資基金投資股指期貨指引》的相關(guān)規(guī)定分析股票型基金怎樣在該規(guī)定下利用滬深300股指期貨對基金資產(chǎn)進(jìn)行套期保值,并分析在《證券投資基金投資股指期貨指引》下,基金對其資產(chǎn)進(jìn)行套期保值所可能產(chǎn)生的風(fēng)險(xiǎn)。另外,文章還對基金在套期保值中面臨的基差風(fēng)險(xiǎn)、流動(dòng)性風(fēng)險(xiǎn)等進(jìn)行了探討。最后,本文提出了有關(guān)股票型基金利用股指期貨進(jìn)行套期保值方面的政策建議,以求為我國基金業(yè)的發(fā)展貢獻(xiàn)自己的綿薄之力。
[Abstract]:Stock index futures, as a financial derivative designed to manage systemic risk in stock market, was first launched by Kansas Futures Exchange in 1981. It has been developed for more than 30 years. At present, it has gradually become the most favored and dynamic hedge tool in the financial market. In April 16th 2010, the Shanghai and Shenzhen 300 stock index futures were officially launched in China's financial futures exchange. It marks the end of the history of China's stock market without effective hedging tools. At the same time, it also changes the passive situation that the stock fund, which is the representative of institutional investors in our stock market, has no effective short selling tool for a long time. It is necessary and urgent to absorb and learn from the theory and practice of hedging in the western countries where stock index futures started earlier, especially at the beginning of the introduction of stock index futures in China. Due to the imperfect trading rules of stock index futures and the lack of market management experience at the present stage, a series of restrictive regulations have been issued for the participation of equity funds in stock index futures trading. Therefore, combined with the relevant provisions. It is of great significance to study its influence on the hedge effect of fund using stock index futures, to hedge the risk of fund assets and to ensure the maintenance and appreciation of fund assets. This paper mainly includes the following aspects. Firstly, this paper briefly introduces the concept and theory of hedging, and on this basis uses the actual trading data of China's stock index futures. Using multiple regression models to estimate the hedge ratio, the efficiency of their estimation is compared empirically. This paper tries to provide a reference for China's equity funds to select hedging and valuation model when hedging. Secondly, the introduction of stock index futures on asset management and portfolio of equity funds in China is studied and discussed. Fund style and internal risk control and other aspects of the impact. Thirdly, combined with the existing conditions and regulations of the stock market and stock index futures market. This paper studies and discusses the related problems that may be encountered when the equity funds in China use stock index futures to hedge. For example, Chinese funds will face the problem of single stock index futures products when they hedge. In order to solve this problem, this paper uses the empirical method to establish a number of hedging subject matter, and carries on the empirical analysis to the fund portfolio hedging. The purpose is to discuss whether our country should launch new stock index futures products from the empirical point of view in order to better serve the fund hedging; Another problem in China's stock index futures market is that funds will be restricted by some market rules when hedging. This paper analyzes how to use CSI 300 stock index futures to hedge fund assets under the relevant regulations of Securities Investment Fund Investment Index Futures. The paper also analyzes the risk that the fund may have to hedge its assets under the "Securities Investment Fund Investment Index Futures Guide". In addition, the paper also analyzes the risk of the fund in hedging. Finally, the paper puts forward some policy suggestions on the use of stock index futures for hedging in order to contribute to the development of China's fund industry.
【學(xué)位授予單位】：貴州財(cái)經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F224;F832.5

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 曾令波;我國共同基金對動(dòng)態(tài)資產(chǎn)配置策略的應(yīng)用初探[J];當(dāng)代財(cái)經(jīng);2003年06期

2 齊明亮;套期保值比率與套期保值的效績——上海期銅合約的套期保值實(shí)證分析[J];華中科技大學(xué)學(xué)報(bào)(社會科學(xué)版);2004年02期

3 王曉艷;李憲智;;淺析套期保值[J];商業(yè)經(jīng)濟(jì);2008年15期

4 代曉明;淺析無風(fēng)險(xiǎn)利率對股指期貨合約價(jià)格波動(dòng)抑制[J];金融理論與教學(xué);2005年01期

5 程巍,李強(qiáng);開放式基金贖回風(fēng)險(xiǎn)的管理與防范[J];理論界;2005年03期

6 王駿,張宗成,趙昌旭;中國硬麥和大豆期貨市場套期保值績效的實(shí)證研究[J];中國農(nóng)業(yè)大學(xué)學(xué)報(bào);2005年04期

7 王駿,張宗成;SHFE金屬銅期貨的套期保值比率與績效[J];統(tǒng)計(jì)與決策;2005年10期

8 林輝平,劉燕武,張忠楨;Markowitz資產(chǎn)組合理論在復(fù)合套期保值中的應(yīng)用[J];武漢理工大學(xué)學(xué)報(bào);2001年04期

9 王健,方強(qiáng);封閉式證券投資基金業(yè)績實(shí)證分析[J];武漢理工大學(xué)學(xué)報(bào)(社會科學(xué)版);2002年01期

10 梁朝暉;;期貨套期保值理論及模型的研究進(jìn)展[J];西安電子科技大學(xué)學(xué)報(bào)(社會科學(xué)版);2007年03期

相關(guān)博士學(xué)位論文 前1條

1 梁斌;股指期貨套期保值和套利策略研究[D];中國科學(xué)技術(shù)大學(xué);2010年

相關(guān)碩士學(xué)位論文 前6條

1 李蓓;我國證券投資基金選股擇時(shí)能力研究[D];暨南大學(xué);2011年

2 周建文;中國證券市場和宏觀經(jīng)濟(jì)波動(dòng)周期比較分析[D];吉林大學(xué);2007年

3 任蕾;股指期貨套期保值策略的模型改進(jìn)研究[D];遼寧工程技術(shù)大學(xué);2008年

4 王志偉;股指期貨套期保值效果在中國的實(shí)證模擬研究[D];安徽大學(xué);2010年

5 陳皓;我國開放式基金投資風(fēng)格變化原因研究[D];華東師范大學(xué);2010年

6 薛武昭;開放式基金風(fēng)險(xiǎn)管理研究[D];西南財(cái)經(jīng)大學(xué);2010年

，

本文編號：1417077