【摘要】：2011年,歐洲爆發(fā)主權(quán)債務(wù)危機,股市連連受挫,但股指期貨等金融衍生產(chǎn)品市場不但沒有萎縮,交易量反而再創(chuàng)新高,反映了金融動蕩背景下市場對避險需求的急劇增加,股指期貨對化解市場風(fēng)險起了積極作用。截至2012年4月,我國推出股指期貨已有兩年時問,滬深300指數(shù)期貨在我國開放式基金的風(fēng)險管理中通過套期保值交易能發(fā)揮多大的作用以及如何更好地發(fā)揮作用,是一個值得研究的問題。 本文正是在這樣的背景下在第三部分通過分析滬深300指數(shù)期貨的推出對我國開放式基金管理的意義以及滬深300指數(shù)期貨的運行現(xiàn)狀,說明我國已經(jīng)具備了運用股指期貨對開放式基金進行套期保值的良好的市場基礎(chǔ)。第四部分在套期保值理論的基礎(chǔ)上采用滬深300指數(shù)期貨實際交易數(shù)據(jù)做實證分析,從而比較運用靜態(tài)套期保值模型和動態(tài)套期保值模型計算的最優(yōu)套期保值比率以及不同期限和不同樣本區(qū)間的保值績效,進而發(fā)現(xiàn)在我國運用股指期貨套期保值能規(guī)避大部分系統(tǒng)性風(fēng)險,不同模型的套期保值效果差別不大,動態(tài)套期保值策略不一定優(yōu)于靜態(tài)套期保值策略。第五第六部分分析我國開放式基金運用股指期貨進行套期保值的風(fēng)險及操作障礙,借鑒美國共同基金運用股指期貨的經(jīng)驗,一是為我國開放式基金的管理者提供參考,二是為完善我國股指期貨套期保值交易機制提供建議。
[Abstract]:In 2011, the sovereign debt crisis broke out in Europe, and the stock market suffered a series of setbacks. However, the market for financial derivatives such as stock index futures did not shrink, but the volume of trading volume reached a new high again, reflecting the sharp increase in the demand for safe haven in the market against the backdrop of financial turmoil. Stock index futures played a positive role in defusing market risks. As of April 2012, it has been two years since the launch of stock index futures in China, asking how much the CSI 300 index futures can play through hedging transactions in the risk management of open-end funds in China and how to play a better role. It is a problem worth studying. In the third part, this paper analyzes the significance of the introduction of CSI 300 index futures to the management of open-end funds in China and the current operation of CSI 300 index futures. It shows that China already has a good market basis for hedging open-end funds by using stock index futures. In the fourth part, based on the theory of hedging, the actual trading data of Shanghai and Shenzhen 300 index futures are used for empirical analysis. Thus, the optimal hedge ratio calculated by static hedging model and dynamic hedging model and the performance of different periods and sample intervals are compared. Furthermore, it is found that the use of stock index futures hedging can avoid most systemic risks in China, and the hedging effect of different models is not different, and dynamic hedging strategy is not necessarily superior to static hedging strategy. The fifth and sixth part analyzes the risks and operational obstacles of using stock index futures to hedge in China's open-end funds, and draws lessons from the experience of American mutual funds in using stock index futures. The first part is to provide reference for the managers of open-end funds in China. Second, to improve China's stock index futures hedging mechanism to provide advice.
【學(xué)位授予單位】：廣西大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F224

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