| 股指期货最小风险套期保值比率计算方法及实证研究 |
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| 引用本文： | 马超群,刘钰,姚铮,袁梦兮,路文金.股指期货最小风险套期保值比率计算方法及实证研究[J].系统工程,2008,26(9). |
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| 作者姓名： | 马超群 刘钰 姚铮 袁梦兮 路文金 |
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| 作者单位： | 1. 湖南大学,工商管理学院,湖南,长沙,410082
2. 宾夕法尼亚州立大学,斯密尔商学院,美国,斯密尔,16802 |
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| 基金项目： | 国家自然科学基金
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国家杰出青年科学基金
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| 摘 要： | 股指期货作为资本市场中重要的风险管理工具,其功能的发挥取决于套期保值比率的确定.本文在系统分析投资组合最小风险套期保值模型基础上,研究了最小风险套期保值比率各种主要计算方法,并针对香港恒生指数期货套期保值进行深入的实证分析,检验了不同方法在香港市场上的应用效果.
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| 关 键 词： | 股指期货 套期保值比率 风险 |
Calculation methods and Empirical Research on the Minimum Risk Hedge Ratio of the Stock Index Futures |
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| MA Chao-qun,LIU Yu,YAO Zheng,YUAN Meng-xi,LU Wen-jin.Calculation methods and Empirical Research on the Minimum Risk Hedge Ratio of the Stock Index Futures[J].Systems Engineering,2008,26(9). |
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| Authors: | MA Chao-qun LIU Yu YAO Zheng YUAN Meng-xi LU Wen-jin |
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| Institution: | 1.College of Business Administration;Hunan University;Changsha 410082;China;2.Smeal College of Business;The Pennsylvania State University;Pennsylvania 16802;U.S.A. |
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| Abstract: | As an important tool of risk management in capital market,the function of stock index futures is dependent on the determination of hedge ratio.This paper investigates various major calculation methods for the minimum risk hedge ratio on the basis of comprehensive study on the minimum risk portfolio hedge model,and makes a thorough empirical analysis of the Hengseng stock index futures hedge and validates the application of different methods on Hong Kong market. |
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| Keywords: | Stock Index Futures Hedge Ratio Risk |
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