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| 当月、季月沪深300股指期货套期保值的实证分析 | |
| 引用本文： | 陈小国,梁凯豪. 当月、季月沪深300股指期货套期保值的实证分析[J]. 佳木斯大学学报, 2014, 0(4): 638-640 |
| 作者姓名： | 陈小国 梁凯豪 |
| 作者单位： | [1]广东石油化工学院,广东茂名525000 [2]仲恺农业工程学院,广东广州510225 |
| 摘 要： | 选取市面上9只蓝筹股,通过当月连续、隔月连续、当季连续、隔季连续得到IF1402和IF1403的时间更长的股票指数,通过175组数据分别得出股票和沪深300股指期货的值,然后使用实际数据得出使用套期保值之后的组合收益率的方差,通过对比得出当月股指期货比季月股指期货效果更好及其他结论. |
| 关 键 词： | 沪深300股指期货 套期保值 隔季连续 实证分析 |
The Analysis of Right Month and Season-Month Portfolio Yields for CSI 300 Stock Index Futures after Hedging |
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| CHEN Xiao-guo,LIANG Kai-hao. The Analysis of Right Month and Season-Month Portfolio Yields for CSI 300 Stock Index Futures after Hedging[J]. Journal of Jiamusi University(Natural Science Edition), 2014, 0(4): 638-640 | |
| Authors: | CHEN Xiao-guo LIANG Kai-hao |
| Affiliation: | 1. Guangdong University of Petrochemical Technology, Maoming, 525000, China; 2. Zhongkai University of Agriculture and Engineertng, Guangzhou 510225, China) |
| Abstract: | Nine bule-chip shares were studied in this paper .By continuously calculating stock indexes of IF1402 and IF1403 for the right month , the month between month , the right season , and the season between season .The values of stocks and CSI 300 stock index future were calculated through using 175 volume of data . And then, the variance of was analyzed after hedging .The conclusion showed that the effect of the right month stock index futures were better than that of the season -month ones . |
| Keywords: | CSI stock index futures hedge season-between-season continuity empirical analysis |
| 本文献已被 CNKI 维普 等数据库收录！ | |