本文關(guān)鍵詞：股指期貨套期保值比率實(shí)證研究　出處：《華南理工大學(xué)》2011年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 滬深300股指期貨 套期保值比率 動態(tài)套期保值 瀑布效應(yīng)

【摘要】：股票市場的風(fēng)險包括系統(tǒng)風(fēng)險和非系統(tǒng)風(fēng)險,非系統(tǒng)風(fēng)險可以通過分散投資加以回避,而股指期貨則是防范系統(tǒng)性風(fēng)險的最佳工具。股指期貨的主要用途包括:套期保值、套利和杠桿性投資工具,其中,套期保值是最基本也是最主要的功能,是大多數(shù)投資者進(jìn)行股票風(fēng)險管理的重要手段,但股指期貨套保的有效性在很大程度上取決于套期保值的比率,因此,套期保值比率的確定成為股指期貨套期保值理論研究的核心問題。 我國滬深300股指期貨于2006年10月30日開始在中國金融期貨交易所進(jìn)行仿真交易,經(jīng)過3年多的時間,已于2010年4月16日正式上市交易。因此,針對滬深300指數(shù)期貨的套保比率進(jìn)行個性化研究,是近幾年期貨研究的熱點(diǎn)課題。本文以滬深300指數(shù)期貨為研究對象,從靜態(tài)和動態(tài)的套期保值模型出發(fā),尋找較優(yōu)的股指期貨套期保值比率的確定方法,用以估計(jì)最小風(fēng)險套期保值比率,為投資者利用滬深300股指期貨進(jìn)行套期保值提供更好的理論與實(shí)踐的指導(dǎo)。 本文靜態(tài)套保模型主要采用了最小二乘回歸模型(OLS),雙變量向量自回歸模型(B-VAR)和誤差修正模型(ECM),而動態(tài)套保模型主要采用了廣義自回歸條件異方差模型(GARCH)和誤差修正GARCH模型(ECM-GARCH)。同時對各個套期保值模型的實(shí)證效果進(jìn)行比較,其中,靜態(tài)模型效果較好的是OLS,而動態(tài)模型GARCH和ECM-GARCH的效果均優(yōu)于OLS。 此外,本文還研究了股指期貨推出對我國股票現(xiàn)貨市場短期和長期的波動性影響,它有助于人們正確認(rèn)識股指期貨與股票市場的關(guān)系,從而能夠正確應(yīng)對股指期貨和股票市場的相關(guān)變化。通過TARCH和EGARCH模型實(shí)證分析結(jié)果表明,股指期貨在短期內(nèi)會引起股市的波動,但長期對現(xiàn)貨市場的波動性沒有較大影響,同時股指期貨弱化了現(xiàn)貨市場的非對稱效應(yīng);通過格蘭杰因果檢驗(yàn)、脈沖響應(yīng)函數(shù)和預(yù)測誤差方差分解三個方法共同分析證明了股災(zāi)時期,股指期貨不是現(xiàn)貨產(chǎn)生瀑布效應(yīng)的原因。
[Abstract]:The risk of stock market includes systematic risk and non-systematic risk, which can be avoided by diversification. Stock index futures is the best tool to prevent systemic risk. The main uses of stock index futures include: hedging, arbitrage and leveraged investment tools, in which hedging is the most basic and the most important function. It is an important means for most investors to carry out stock risk management, but the effectiveness of hedging of stock index futures depends to a large extent on the ratio of hedging. The determination of hedging ratio has become the core issue in the theoretical study of stock index futures hedging. China's Shanghai and Shenzhen 300 stock index futures began in October 30th 2006 in the China Financial Futures Exchange for simulation trading, after more than three years. It has been listed and traded on April 16th 2010. Therefore, a personalized study on hedging ratio of CSI 300 index futures has been carried out. It is a hot topic of futures research in recent years. Based on the static and dynamic hedging model, this paper takes CSI 300 index futures as the research object to find a better method to determine the hedge ratio of stock index futures. It can be used to estimate the minimum risk hedge ratio and provide better theoretical and practical guidance for investors to use the Shanghai and Shenzhen 300 stock index futures to hedge. In this paper, we mainly use the least square regression model, the bivariate vector autoregressive model and the error correction model (ECM). The dynamic hedging model mainly adopts the generalized autoregressive conditional heteroscedasticity model (GARCH) and the error modified GARCH model (ECM-GARCH). At the same time, the empirical effects of each hedging model are compared. The effect of static model is better than that of dynamic model GARCH and ECM-GARCH. In addition, this paper also studies the impact of the introduction of stock index futures on the short-term and long-term volatility of China's stock spot market, which is helpful to understand the relationship between stock index futures and stock market. Through TARCH and EGARCH model empirical analysis results show that stock index futures will cause volatility in the short term. However, there is no significant effect on the volatility of spot market for a long time, and stock index futures weaken the asymmetric effect of spot market. By Granger causality test, impulse response function and variance decomposition of prediction error, it is proved that stock index futures are not the cause of the waterfall effect in stock market.
【學(xué)位授予單位】：華南理工大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2011
【分類號】：O211.67;F224;F832.5

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本文編號：1418679