导　　师： 姚仰新

学科专业： 070103

授予学位： 硕士

作　　者： ;

机构地区： 华南理工大学

摘　　要： 股票市场的风险包括系统风险和非系统风险,非系统风险可以通过分散投资加以回避,而股指期货则是防范系统性风险的最佳工具。股指期货的主要用途包括:套期保值、套利和杠杆性投资工具,其中,套期保值是最基本也是最主要的功能,是大多数投资者进行股票风险管理的重要手段,但股指期货套保的有效性在很大程度上取决于套期保值的比率,因此,套期保值比率的确定成为股指期货套期保值理论研究的核心问题。 我国沪深300股指期货于2006年10月30日开始在中国金融期货交易所进行仿真交易,经过3年多的时间,已于2010年4月16日正式上市交易。因此,针对沪深300指数期货的套保比率进行个性化研究,是近几年期货研究的热点课题。本文以沪深300指数期货为研究对象,从静态和动态的套期保值模型出发,寻找较优的股指期货套期保值比率的确定方法,用以估计最小风险套期保值比率,为投资者利用沪深300股指期货进行套期保值提供更好的理论与实践的指导。 本文静态套保模型主要采用了最小二乘回归模型/(OLS/),双变量向量自回归模型/(B-VAR/)和误差修正模型/(ECM/),而动态套保模型主要采用了广义自回归条件异方差模型/(GARCH/)和误差修正GARCH模型/(ECM-GARCH/)。同时对各个套期保值模型的实证效果进行比较,其中,静态模型效果较好的是OLS,而动态模型GARCH和ECM-GARCH的效果均优于OLS。 此外,本文还研究了股指期货推出对我国股票现货市场短期和长期的波动性影响,它有助于人们正确认识股指期货与股票市场的关系,从而能够正确应对股指期货和股票市场的相关变化。通过TARCH和EGARCH模型实证分析结果表明,股指期货在短期内会引起股市的波动,但长期对现货市场的波动性没有较大影响,同时股指期货弱化了现货市场的非对称效应;通过格兰杰因果检验、脉冲响� Stock market risk includes systematic risk and non-systematic risk. Non-systematic risk can be avoided through diversified investment, while the stock index futures are the best tools to prevent systemic risk. The main functions of stock index futures are hedging, arbitrage and leveraged investment instruments. Among them hedging is the most basic and the most important function, and it is a useful way to manage stock risk for most stock investors. However, the stock index futures hedging depends largely on the effectiveness of the hedge ratio, therefore, determine the hedge ratio is the core issue of the stock index futures hedging theory. On October 30 2006, China's CSI 300 stock index futures began simulates trading in China Financial Futures Exchange. After 3 years of time, stock index futures were officially listed for trading on April 16 2010. Therefore, personalized research of hedging ratios of CSI 300 Index futures became a hot topic for futures research in recent years. This paper considered CSI 300 index futures as the research object, based on static and dynamic hedging model, and find an optimum method for determining the stock index futures hedge ratio, estimating the minimum risk hedge ratio and providing a better theory and practice guidance for investors to use the CSI 300 stock index futures for hedging. In this paper, the static hedging model mainly used ordinary least squares regression /(OLS/), two-variable vector auto regression model /(B-VAR/) and error correction model /(ECM/). In addition, the dynamic hedging model mainly used generalized autoregressive conditional heteroskedasticity model /(GARCH/) and error correction GARCH model /(ECM-GARCH/). Meanwhile, this paper presented the comparison of the positive effects of the various hedging model, where OLS behaved best among the static models, while GARCH and ECM-GARCH effects is superior to OLS among the model models. In addition, this paper presented a research about the short-term and long-term effect of the introduction of

关 键 词： 沪深 股指期货 套期保值比率 动态套期保值 瀑布效应

领　　域： [理学] [理学] [经济管理] [经济管理]