| 股指期货套期保值模型选择 |
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| 引用本文： | 张健,方兆本. 股指期货套期保值模型选择[J]. 中国科学技术大学学报, 2012, 42(3): 191-196 |
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| 作者姓名： | 张健 方兆本 |
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| 作者单位： | 中国科学技术大学管理学院,安徽合肥,230026 |
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| 摘 要： | 基于沪深300和S&P500的股指期货真实交易的数据,通过构建ETF组合作为沪深300的现货,选取S&P500的指数作为S&P500的现货,运用OLS,VECM,copula-VaR,修正的ECM-GARCH这4个模型进行套期保值的实证分析.通过"风险最小化"原则比较不同模型对于这2个股指的套期保值效率,发现以上4种方法对于沪深300的套期保值效率要优于S&P500;同时,对于2个股指,样本内和样本外都是动态的ECM-GARCH效果最优.最后给出投资者选择股指期货套期保值模型的具体建议.
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| 关 键 词： | 股指期货 ETF组合 套期保值率 绩效评价 |
The selection of stock index future hedging models |
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| ZHANG Jian , FANG Zhaoben. The selection of stock index future hedging models[J]. Journal of University of Science and Technology of China, 2012, 42(3): 191-196 |
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| Authors: | ZHANG Jian FANG Zhaoben |
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| Affiliation: | (School of Management,University of Science and Technology of China,Hefei 230026,China) |
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| Abstract: | An empirical analysis of hedge ratios was performed based on real data of the indices and index futures of HUSHEN300 and S&P500(with ETF portfolio as HS300 index) using different types of models such as OLS,VECM,Copula-VaR,and the modified ECM-GARCH.After using different models to compare the hedging efficiency of the two stock indices under the principle of minimization risk,it was found that the efficiency of HS300 is superior to S&P500 according to the four methods listed above.Meanwhile,the result of dynamic ECM-GARCH is always the best both inside or outside the samples for both markets.Finally,specific recommandations were given to investors about choosing models of stock index future hedge. |
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| Keywords: | stock index future ETF portfolio hedge ratio performance evaluation |
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