【摘要】：滬深300股指期貨在我國上市交易已有3年的歷史,這期間股指期貨一方面作為新興投資品種活躍在期貨投資市場上；另一方面作為現(xiàn)貨市場風(fēng)險(xiǎn)規(guī)避的工具被廣泛所使用。2008年的金融危機(jī)及其引發(fā)的歐債危機(jī)使得全球投資市場頓時(shí)危機(jī)重重,各種投資工具面臨動蕩的市場,急需強(qiáng)有效的避險(xiǎn)工具。系統(tǒng)性風(fēng)險(xiǎn)占比較高的開放式基金更是如此。因此有必要利用股指期貨對開放式基金進(jìn)行套期保值研究,以降低開放式基金的系統(tǒng)性市場風(fēng)險(xiǎn)。 本文圍繞股指期貨套期保值策略在開放式基金風(fēng)險(xiǎn)管理中的應(yīng)用這一主題,選用滬深300股指期貨中的IFO1合約對股票型開放式基金——交銀成長股票(519692)、興全全球視野股票(340006))和混合型開放式基金——華夏回報(bào)二號混合(002021)、華夏回報(bào)混合(002001)進(jìn)行套期保值研究。該研究的目的在于：一方面檢驗(yàn)處于金融危機(jī)和歐債危機(jī)以及我國市場結(jié)構(gòu)和產(chǎn)業(yè)結(jié)構(gòu)大調(diào)整環(huán)境下的股指期貨套期保值策略在基金市場風(fēng)險(xiǎn)管理中的有效性,同時(shí)比較靜態(tài)套期保值策略和動態(tài)套期保值策略在套期保值中的優(yōu)劣；另一方面檢驗(yàn)基金類型對套期保值效果的影響,進(jìn)而希望能夠得出一些有意義的結(jié)論,為系統(tǒng)性風(fēng)險(xiǎn)占比較高的股票型開放式基金和混合型開放式基金的投資者提供風(fēng)險(xiǎn)規(guī)避的借鑒。在具體研究中,文章通過采用三種靜態(tài)套期保值模型OLS、BVAR、BECM和兩種動態(tài)套期保值模型BGARCH和ECM-BGARCH計(jì)量最優(yōu)套期保值比率,并利用這些最優(yōu)套期保值率構(gòu)建最優(yōu)套期保值組合,最后衡量和比較各組合的套期保值效果。 經(jīng)過實(shí)證,文章最后得出的結(jié)論有：股指期貨的套期保值策略可以有效管理開放式基金的市場風(fēng)險(xiǎn),且動態(tài)套期保值策略相對靜態(tài)套期保值策略并沒有明顯的優(yōu)勢。然而對于所選的兩只混合型基金樣本,利用ECM-BGARCH模型進(jìn)行套期保值的效果相對其他模型要好一些。對于兩只股票型基金而言,因無法對其中一只進(jìn)行GARCH建模,所以沒能夠鑒別出對股票型開放式基金最優(yōu)的套期保值策略。同時(shí),文章最后沒有得出股指期貨因基金類型的不同而套期保值效果不同的結(jié)論。
[Abstract]:Shanghai and Shenzhen 300 stock index futures have been listed and traded in China for 3 years. During this period, stock index futures are active in the futures investment market as a new investment variety. On the other hand, as a tool for risk aversion in the spot market, it is widely used. The financial crisis of 2008 and the European debt crisis triggered by the crisis made the global investment market suddenly full of crisis, and various investment instruments were faced with volatile markets. A strong and effective hedge is urgently needed. This is especially true of open-end funds with higher systemic risks. Therefore, it is necessary to use stock index futures to hedge open-end funds in order to reduce the systemic market risk of open-end funds. This paper focuses on the application of hedging strategy of stock index futures in the risk management of open-end funds, and selects the IFO1 contract of Shanghai and Shenzhen 300 stock index futures as a kind of open-end equity fund (519692). Xingquan Global Vision (340006), mixed open-end fund-Huaxia return 2 (002021), Huaxia return mixture (002001) to hedge research. The purpose of this study is to test the effectiveness of hedge strategy of stock index futures in fund market risk management under the circumstances of financial crisis, European debt crisis and adjustment of market structure and industrial structure. At the same time, the static hedging strategy and the dynamic hedging strategy are compared. On the other hand, the influence of fund type on hedging effect is examined, and some meaningful conclusions can be drawn. This paper provides reference for investors of stock open funds and mixed open funds with high systemic risk. In the specific study, the paper uses three static hedging models, OLS,BVAR,BECM and two dynamic hedging models, BGARCH and ECM-BGARCH, to measure the optimal hedging ratio. The optimal hedging ratio is used to construct the optimal hedging portfolio. Finally, the hedging effect of each combination is measured and compared. The conclusion is that the hedging strategy of stock index futures can effectively manage the market risk of open-end funds, and the dynamic hedging strategy has no obvious advantage over static hedging strategy. However, for the two mixed fund samples, the hedging effect of ECM-BGARCH model is better than that of other models. For two equity funds, it is impossible to model one of them by GARCH, so the optimal hedging strategy for equity open-end funds can not be identified. At the same time, the paper does not draw the conclusion that the hedge effect of stock index futures is different because of different fund types.
【學(xué)位授予單位】：西北大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51

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