导　　师： 高凌云

学科专业： 070104

授予学位： 硕士

作　　者： ;

机构地区： 暨南大学

摘　　要： 股指期货的研究是当今经济领域的一个非常重要的课题,它对于国际金融市场的稳定发展和创新至关重要,经过在现实中的不断检验,国外的股指期货的功能已经相当完备,针对国外股指期货的研究也已经取得了很多成果。 随着我国金融市场于2010年正式推出了沪深300股票指数期货,许多的问题也随之出现。本文运用黄金期货的定价模型,在无套利原则的基础上利用数学归纳的方法推导出了股指期货的持有成本定价模型,并且在此基础上对沪深300股指期货的定价做了改进和更全面的研究,并考虑到了可能影响期货合约价格的因素。 最后,在分析我国国有企业套期保值亏损案例的基础上,对我国股指期货的套期保值问题进行了系统研究,采用最小方差的方法计算得出了股指期货的最优套期保值比率和套期保值的合约数量。并利用严谨的β系数法对沪深300股指期货进行了实证检验,对套期保值实践具有一定的参考价值。 Now, the research of stock index futures is a very important topic in economic field, It is very important to the stability development and innovation of the international financial market, the stock index futures of foreign countries has reached a high level after continuous testing in the real world, and the study of foreign stock index futures have achieved a lot of results. In the past, as the financial market of china has officially launched the Shanghai-Shenzhen 300 stock index futures in 2010, and a lot of problems have begun. This paper based on the principle of arbitrage free and the mathematical induction method, the holding cost pricing model of stock index futures is derived from the holding cost pricing model of gold futures. And on the basis of the Shanghai-Shenzhen 300 stock index futures price made improvements and more comprehensive research, and we have considered many factors which may affect the price of future contract. Finally, on the analysis of the state-owned enterprises hedging losses, the systematic study of china stock index futures has been done. Then, adopting the minimum variance method calculated the optimal hedge ratio and the number of hedge contracts of the stock index futures, And use the popularβcoefficient tested the Shanghai-Shenzhen 300 stock index futures. The paper has important reference value in guiding China's hedging of stock index futures.

关 键 词： 股指期货 持有成本定价模型 套利 实证 套期保值

分 类 号： [F832.51 O242.1]

领　　域： [经济管理] [理学] [理学]