| 考虑基差影响非对称效应的股指期货对冲策略 |
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| 引用本文： | 张龙斌,王春峰,房振明. 考虑基差影响非对称效应的股指期货对冲策略[J]. 系统工程, 2008, 26(5) |
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| 作者姓名： | 张龙斌 王春峰 房振明 |
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| 作者单位： | 天津大学,管理学院,天津,300072 |
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| 基金项目： | 国家自然科学基金 , 国家自然科学基金 |
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| 摘 要： | 通过在ECM-GARCH模型中引入非对称基差项,研究了基差对股指期货和现货回报的条件均值及风险结构影响的非对称效应,在此基础上研究了非对称效应对股指期货动态对冲策略的影响.通过对国际上主要股指期货和现货的实证分析表明,基差对股指期货和现货回报的条件均值及风险结构都存在显著的非对称影响,考虑基差非对称效应的对冲策略能有效提高股指期货对冲的效率.
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| 关 键 词： | 股指期货 对冲比率 动态对冲策略 基差非对称效应 基差 结构影响 非对称 效应 股指期货 对冲 策略 Basis Effect Asymmetric Futures Index Hedging 效率 存在 风险结构 分析表 国际 动态 条件均值 |
Dynamic Hedging with Index Futures Considering Asymmetric Effect of Basis |
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| ZHANG Long-bin,WANG Chun-feng,FANG Zhen-ming. Dynamic Hedging with Index Futures Considering Asymmetric Effect of Basis[J]. Systems Engineering, 2008, 26(5) |
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| Authors: | ZHANG Long-bin WANG Chun-feng FANG Zhen-ming |
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| Affiliation: | School of Management;Tianjin University;Tianjin 300072;China |
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| Abstract: | The paper deals with asymmetric effect of basis on the time-varying variance-covariance of index futures and spot returns and its impacts on dynamic hedging.We propose an alternative specification of the ECM-GARCH model in which the effect is incorporated for estimating MVHRs.Empirical evidence from in index future markets suggests that the basis effect is asymmetric.Both in-sample and out-of-sample comparisons of the hedging performance reveal that the model with the asymmetric effect provides greater risk... |
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| Keywords: | Index Future Hedge Ratios Dynamic Hedging Strategy Asymmetric Basis Effect |
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