本文關(guān)鍵詞： 上證50股指期貨 套期保值率 套期保值效率 B-VAR ECM-BGARCH Ederington　出處：《北京交通大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

【摘要】：我國A股市場在借鑒發(fā)達(dá)國家發(fā)展股指期貨經(jīng)驗(yàn)的基礎(chǔ)上,中國金融期貨交易所已經(jīng)推出了滬深300、中證500和上證50三只股指期貨合約,逐步完善我國資本市場的做空操作機(jī)制,給我國在資本市場上的投資者帶來多元化的投資方式。股指期貨作為投資者重要的規(guī)避風(fēng)險的工具,對我國剛剛推出僅1年多的上證50股指期貨實(shí)際具有的套期保值的效果進(jìn)行針對性的研究是十分必要的。在理論分析方面,首先對股指期貨的套期保值率和套期保值效率進(jìn)行界定,分析股指期貨套期保值的影響因素,并介紹了股指期貨前人研究的一些理論基礎(chǔ),從現(xiàn)代組合投資套期保值理論出發(fā),對套期保值進(jìn)行機(jī)理分析,構(gòu)建套期保值模型,并測算出最優(yōu)套期保值比率的表達(dá)式。本文的研究目的是基于我國推出的上證50股指期貨,通過實(shí)證的方法檢驗(yàn)其是否有套期保值的效果,并對我國A股投資者實(shí)現(xiàn)高利低風(fēng)險的投資方面具有現(xiàn)實(shí)價值。在實(shí)證方面,采用最小二乘模型(OLS)、誤差修正模型(ECM)兩個靜態(tài)模型和向量自回歸模型(B-VAR)以及二元向量誤差修正廣義自回歸條件異方差模型(ECM-BGARCH)兩個動態(tài)模型測算上證50股指期貨的最優(yōu)套期保值率,再進(jìn)一步采用Ederington模型,對比各種模型所得出的套期保值率,進(jìn)一步測算出最優(yōu)套期保值效率。實(shí)證分析結(jié)果表明,ECM-BGARCH模型的套期保值效率要高于最小二乘模型、誤差修正模型、雙變量自回歸模型,套期保值關(guān)系高度有效。上證50股指期貨的推出可以幫助我國A股市場投資者降低投資風(fēng)險程度,但并非復(fù)雜的動態(tài)模型肯定就比靜態(tài)的簡單模型好,OLS模型的組合收益率標(biāo)準(zhǔn)差最小,在實(shí)際運(yùn)用中,由于0LS簡便易操作,對于精準(zhǔn)度的需求不是很高的投資者,可以選擇簡單套保模型。
[Abstract]:A stock market in China based on the experience of developed countries on the development of stock index futures, Chinese financial futures exchange has launched the CSI 300, CSI 500 SSE 50 and three stock index futures contracts, and gradually improve China's capital market shorting mechanism for our country in the capital market investors diversified investment the stock index futures. As an important tool for investors to avoid risk, with the practice of our country has just launched only 1 years of the Shanghai 50 stock index futures hedging effect of targeted research is very necessary. In the theoretical analysis, firstly, the stock index futures hedging ratio and hedging efficiency definition, analysis influence factors of stock index futures hedging, and introduces some basic theory of stock index futures in previous research, starting from the modern investment portfolio theory of hedging, the hedging. Mechanism analysis, construct the hedging model, and calculate the expression of the optimal hedge ratio. The purpose of this paper is China's launch of the Shanghai 50 stock index futures based on the empirical method to test whether the effect of hedging, and has practical value in China A stock investors realize Gregory low risk investment in the empirical aspect, using the least squares (OLS) model, error correction model (ECM) two static model and vector autoregressive model (B-VAR) and a two element vector error correction generalized autoregressive conditional heteroscedasticity (ECM-BGARCH) model two dynamic model to estimate the Shanghai 50 stock index futures optimal hedging rate, further using the Ederington model, the comparison of various models of hedging rate, further calculates the optimal hedging efficiency. The empirical results show that hedging efficiency ECM-BGARCH model Than the least squares model, error correction model, double variable regression models, the hedging relationship is highly effective. The Shanghai 50 stock index futures can help investors in China A stock market to reduce the investment risk, but certainly not the complex dynamic model than the static model, the OLS model of the portfolio returns the minimum standard deviation and in practice, because the 0LS is simple and easy to operate, the precision demand is not high investor, you can choose a simple hedging model.

【學(xué)位授予單位】：北京交通大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F224;F724.5

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本文編號：1457727