本文選題：股指期貨 + 最優(yōu)套期保值比率��； 參考：《天津財經(jīng)大學(xué)》2013年碩士論文

【摘要】：2008年全球金融危機(jī)過后,我國滬深兩市股票市場的一個顯著的特點就是股市的系統(tǒng)風(fēng)險增大,股票市場投資者急切需要一種新的金融衍生工具用于規(guī)避股市系統(tǒng)風(fēng)險。2010年4月16日,滬深300股指期貨合約在上海金融期貨交易所掛牌上市,彌補(bǔ)了我國股指期貨的市場空白,同時也為滬深兩市的股票投資者提供了一種新的有效的風(fēng)險規(guī)避工具。股指期貨的風(fēng)險規(guī)避功能是通過套期保值策略實現(xiàn)的,投資者利用股指期貨對股票現(xiàn)貨投資組合進(jìn)行套期保值,可以達(dá)到防范股市的系統(tǒng)風(fēng)險,減少投資損失的目的。利用股指期貨合約進(jìn)行套期保值,其中核心的問題在于如何選擇最優(yōu)的套期保值比率,因此文章從如何選擇最優(yōu)的套期保值比率這個角度展開研究,這也是文章的研究目的和意義所在。 文章選取滬深300指數(shù)樣本股權(quán)重排名前50名的股票作為備選樣本股,并以樣本股的收益率與滬深300股指期貨收益率的相關(guān)系數(shù)大于0.5為準(zhǔn)則選擇個股,并構(gòu)建股票現(xiàn)貨投資組合。在建立已有的股票現(xiàn)貨投資組合基礎(chǔ)上,分別從靜態(tài)和動態(tài)的兩個角度來研究最優(yōu)套期保值比率。研究靜態(tài)最優(yōu)套期保值比率采用的方法是OLS模型、B-VAR模型、VECM模型；研究動態(tài)最優(yōu)套期保值比率采用的方法是VECH-GARCH模型、BEKK-MGARCH模型、CCC-MGARCH模型、DCC-MGARCH模型。 實際研究過程中由于不同估計方法得出的套期保值比率往往不一致,因此需要比較和評價各套期保值比率的套期保值績效,并選擇套期保值績效最優(yōu)的套期保值比率進(jìn)行套期保值。文章分別從風(fēng)險降低角度與效用最大化角度比較各套期保值比率的套期保值績效。風(fēng)險降低衡量指標(biāo)是HE測度指標(biāo),效用最大化衡量指標(biāo)是Sharp Ratio測度指標(biāo)。在比較動態(tài)套期保值比率的套期保值績效時,我們在Sharp Ratio測度指標(biāo)中加入了動態(tài)調(diào)整成本變動對套期保值績效的影響。比較結(jié)果顯示：動態(tài)模型估計出的套期保值比率的套期保值績效要優(yōu)于靜態(tài)套期保值估計模型,而加入動態(tài)調(diào)整成本因素的影響的Sharp Ratio指標(biāo)更加符合實際,對套期保值投資者更有實際的指導(dǎo)意義。
[Abstract]:After the 2008 global financial crisis, one of the notable features of the stock market in China's Shanghai and Shenzhen stock markets is the increased systemic risk in the stock market. Investors in the stock market urgently need a new financial derivative to avoid the risk of the stock market system. On April 16, 2010, the CSI 300 Stock Index Futures contract was listed on the Shanghai Financial Futures Exchange, which made up for the gap in the stock index futures market in China. At the same time, it also provides a new effective risk-aversion tool for stock investors in Shanghai and Shenzhen stock markets. The function of risk aversion of stock index futures is realized by hedging strategy. Investors can use stock index futures to hedge stock spot portfolio, which can prevent the systematic risk of stock market and reduce the investment loss. How to choose the best hedge ratio is the core problem of using stock index futures contract, so this paper studies how to choose the optimal hedge ratio. This is also the purpose and significance of the article. This paper selects the top 50 stocks in the Shanghai and Shenzhen 300 index as the alternative sample stocks, and selects the stocks with the correlation coefficient greater than 0.5 between the yield of the sample stock and the return rate of the Shanghai and Shenzhen 300 stock index futures. And build stock spot investment portfolio. Based on the existing stock spot portfolio, the optimal hedging ratio is studied from the static and dynamic perspectives. The method to study the static optimal hedging ratio is OLS model / B-VAR model / VECM model, and the dynamic optimal hedging ratio method is VECH-GARCH model / CCC-MGARCH model / DCC-MGARCH model. In the actual research process, because the hedge ratio obtained by different estimation methods is often inconsistent, it is necessary to compare and evaluate the hedging performance of each hedge ratio. And select the best hedge performance hedge ratio to hedge. This paper compares the hedge performance of each hedge ratio from the angle of risk reduction and utility maximization. The risk reduction measure index is HE measure index, the utility maximization measure index is Sharp Ratio measure index. When comparing the hedge performance of the dynamic hedging ratio, we add the effect of the dynamic adjustment cost change to the hedging performance in the Sharp Ratio measure index. The results show that the hedge performance of the dynamic model is better than that of the static model, and the Sharp Ratio index with the effect of dynamic adjustment cost is more realistic. To hedge investors more practical guidance.
【學(xué)位授予單位】：天津財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51;F224

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