本文關(guān)鍵詞：中國(guó)滬深300股指期貨最優(yōu)套期保值率的實(shí)證研究　出處：《南開(kāi)大學(xué)》2013年碩士論文　論文類(lèi)型：學(xué)位論文

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【摘要】：作為金融期貨的重要品種之一,股指期貨在當(dāng)前金融衍生品交易中占據(jù)了重要地位。如何測(cè)算出最優(yōu)的套期保值比率,進(jìn)而利用股指期貨進(jìn)行風(fēng)險(xiǎn)對(duì)沖,不論是對(duì)于投資者還是學(xué)術(shù)研究者都極具現(xiàn)實(shí)意義,特別是面對(duì)我國(guó)股市系統(tǒng)性風(fēng)險(xiǎn)高、股指期貨市場(chǎng)剛剛起步的現(xiàn)狀,因地、因時(shí)制宜地分析、選取適用于我國(guó)滬深300股指期貨投資的量化模型就顯得更為重要。本文基于股指期貨套期保值比率研究的國(guó)內(nèi)外主要成果,利用資產(chǎn)組合理論框架下的不同模型,如OLS、B-VAR、ECM、GARCH等,對(duì)滬深300股指期貨2010年至2012年的三個(gè)樣本區(qū)間進(jìn)行了比率測(cè)算,并將測(cè)算結(jié)果用于樣本區(qū)間的下一年度交易數(shù)據(jù),進(jìn)而得出該比率的套期保值績(jī)效,通過(guò)將測(cè)算比率與績(jī)效結(jié)果進(jìn)行橫向和縱向分析,本文得到量化模型在我國(guó)期貨交易中適用度正在不斷提高,B-VAR、 ECM、GARCH模型表現(xiàn)要優(yōu)于OLS的結(jié)論,同時(shí)這也對(duì)這三年我國(guó)股指期貨市場(chǎng)的成熟度演化給予了驗(yàn)證,針對(duì)投資者應(yīng)不應(yīng)該選擇量化模型進(jìn)行投資分析、選擇何種模型的問(wèn)題給出了相關(guān)意見(jiàn)和建議。
[Abstract]:As one of the important varieties of financial futures, stock index futures play an important role in the current financial derivatives trading. How to calculate the optimal hedge ratio and then use stock index futures to hedge risks. Both for investors and academic researchers are of great practical significance, especially in the face of the high systemic risk of China's stock market, stock index futures market has just started, because of the local, according to the circumstances of the analysis. It is even more important to select the quantitative model suitable for the investment of Shanghai and Shenzhen 300 stock index futures. This paper is based on the main achievements of the research on the hedge ratio of stock index futures at home and abroad. Different models under the framework of portfolio theory, such as OLSS-B-VARA ECM GARCH and so on, are used. This paper calculates the ratio of three sample intervals of Shanghai and Shenzhen 300 stock index futures from 2010 to 2012, and applies the results to the next year trading data of the sample range. Through the horizontal and vertical analysis of the ratio and performance results, this paper obtains that the quantitative model is improving the applicability of B-VAR in futures trading in China. The performance of ECM GARCH model is better than that of OLS, and it also verifies the maturity evolution of China's stock index futures market in the past three years. According to whether investors should choose the quantitative model to carry on the investment analysis, this paper gives the related opinions and suggestions on which model to choose.
【學(xué)位授予單位】：南開(kāi)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F724.5;F224

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