本文選題：滬深300股指期貨　切入點：套期保值比率　出處：《青島大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：2010年4月16日,股指期貨在中國金融期貨交易所正式掛牌交易,作為現(xiàn)代社會非常重要的金融衍生品,股指期貨自問世以來一直在金融市場中發(fā)揮著無可替代的作用。股指期貨主要有兩大功能：價格發(fā)現(xiàn)和套期保值,其中套期保值的關(guān)鍵是套期保值比率的確定,套期保值比率是套期保值者在建立交易頭寸時所確定的期貨合約的總價值與所保值的現(xiàn)貨合同總價值之間的比值。但是,利用股指期貨進行套期保值需要花費一定的成本,包括直接費用、間接費用和資金占用成本,它們對套期保值比率有著重要的影響,進而影響股指期貨套期保值的效果。 本文針對交易成本對股指期貨套期保值比率的影響這一問題進行了理論概括,運用我國滬深300現(xiàn)貨指數(shù)和滬深300股指期貨數(shù)據(jù)對這一問題進行了實證研究。在實證研究過程中,首先通過簡單套期保值模型、OLS模型、ECM模型和GARCH模型得出不同的套期保值比率,利用HE指標對這四個模型得出的不同套期保值比率進行了套保績效評價。然后,把交易成本這一要素考慮進來,運用修正的HE指標對這四個模型得出的不同套期保值比率進行了套保績效評價,通過HE指標和修正的HE指標得出的不同結(jié)果作對比,得出交易成本對套期保值比率的影響,并建議股指期貨套期保值者根據(jù)自身的交易成本情況選擇不同的套期保值比率,當交易成本低時,應(yīng)該選擇動態(tài)套保模型所得到的套期保值比率,當交易成本高時,應(yīng)該選擇靜態(tài)套保模型所得到的套期保值比率。
[Abstract]:In April 16th 2010, stock index futures were officially listed and traded on the China Financial Futures Exchange, which is a very important financial derivative in modern society. Stock index futures have been playing an irreplaceable role in the financial market since their inception. Stock index futures have two main functions: price discovery and hedging, in which the key to hedging is the determination of hedging ratios. The hedge ratio is the ratio between the total value of the futures contract and the total value of the spot contract that the hedger determines when establishing a trading position. Including direct cost, indirect charge and capital occupation cost, they have important influence on hedge ratio, and then affect the effect of stock index futures hedging. In this paper, the influence of transaction cost on the hedge ratio of stock index futures is summarized theoretically. This paper makes an empirical study on this problem by using the spot index of CSI 300 and the data of CSI 300 stock index futures. In the process of empirical research, different hedging ratios are obtained through the simple hedging model, OLS model, ECM model and GARCH model. He index is used to evaluate the hedge performance of the four models. Then, the transaction cost is taken into account. By using the modified HE index to evaluate the performance of the four models, the paper compares the different results between the HE index and the modified HE index, and draws the conclusion that the effect of transaction cost on the hedge ratio. It is suggested that stock index futures hedgers choose different hedging ratios according to their transaction costs. When transaction costs are low, the hedge ratios obtained by dynamic hedging models should be chosen, and when transaction costs are high, We should select the hedge ratio obtained from the static hedging model.
【學(xué)位授予單位】：青島大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.5;F224

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本文編號：1641255