【作者】 赵学雷；

【导师】 郭万山；

【作者基本信息】 辽宁大学 ， 金融工程， 2011， 硕士

【摘要】 中国资本市场经历了二十年的发展,目前流通市值近20万亿,上市公司2000余家。尽管发展的过程中也经历了很多挫折,但中国资本市场,仍将伴随着金融创新和金融深化程度的加深,高速的发展。目前我国已经相继推出了沪深300股指期货合约和融资融券试点业务,外汇市场上也推出了期权产品,而且在将来,还会继续推出转融通、备兑权证等,从而进一步丰富我国的金融产品。与传统的证券市场交易策略相比,未来的金融市场会发生深刻的变革,如果不能适应新的市场条件,不仅无法把握时代的机遇,反而会在新的市场格局下造成巨大的损失。本文正是在这个大背景下,介绍股指期货在套期保值中的作用。2010年4月16日,我国正式推出了沪深300股指期货合约,提供了新的可以投资获利的金融产品,也为投资者提供了对冲市场系统性风险的金融工具。通过股指期货,投资者可以进行,投机、套利和套期保值等交易。在期货市场上进行套期保值,可以起到促进价格发现,稳定金融市场,降低波动性等作用。通过套期保值,投资者可以对持有的股票头寸面临的风险进行对冲,将市场风险转化为相对于市场风险小很多的基差风险。而在套期保值操作中,最关键的步骤就是如何确定最优的套期保值比率。因此本文将站在套期保值者的角度,综合国内外学者关于如何实现最优的套期保值策略的方法进行研究。最原始的套期保值策略就是1:1的套期保值,即持有与现货头寸数量相同,方向相反的期货头寸。然而,由于现货市场与期货市场对市场信息的反应的不同,而且也很难存在与现货头寸大小完全相同的期货品种,尤其是应用股票价格指数期货对现货股票头寸进行套期保值,是一种交叉套期保值策略,这就使得1:1的套期保值策略往往不是最优的,从而促使了众多在实践中的投资者和理论学者对最优的套期保值比率问题展开研究。从传统的OLS普通最小二乘法,二元VAR,二元误差修正模型法,到后来的GARCH类模型、SV类模型,以及近年来在金融领域得到广泛应用的Copula方法均应用其中,可以说任何金融理论方法上的创新都对套期保值理论有借鉴意义。本文,在简要回顾了国内外优秀学者关于最优套期保值比率问题相关文献的基础上,综合分析对比了不同最优套期保值理论和方法模型。并使用我国沪深300股指期货合约的真实交易数据,进行了实证分析。更多还原

【Abstract】 Chinese capital market has nearly 20 trillion market value and more than 2000 listed companies, during the last 20 years development. Although the development of the stock market experienced many setbacks, Chinese capital market will remain with financial innovation, financial liberation and high-speed development. At present our country has launched the HS300 index futures and securities lending business, foreign exchange market also launched options products, but also in the future, will continue to release to refinance and covered warrant, further to enrich the financial products. Compared with the traditional trading strategies, the future of the financial market is undergoing profound changes, if investors can’t adapt to the new conditions, not only cannot grasp the opportunity, but also could cause great lose. Against this backdrop, this paper introduces hedging by stock index futures. April 16, 2010, China officially launched HS300 index futures. Use the stock index futures, investors can speculation, hedging, and arbitrage. Hedging in the futures markets, can promote the price discovery, stable financial market and reduce volatility. Through hedging, investors can transform market risk into much smaller base risk. While in the hedging operation, the key point is how to determine the optimal hedging ratio. Therefore this paper will stand at the hedgers’point, overseas scholars have pointed about how to achieve the optimal hedging ratio. The most primitive hedging strategy is the 1:1 the hedging, namely hold spot and the same position, but opposite direction futures position. However, due to the different reaction, especially the stock price index futures hedging, is a cross hedging strategies, which makes the hedging strategies tend not to be optimal, and prompted the research on the optimal hedging ratios in practice and theoretical. From the OLS method, VAR, ECM, to GARCH class models, SV class models, as well as Copula methods which widely used in financial field recent years, any financial theoretical innovation can be used in hedging theory. After briefly reviewed the outstanding scholars’theories, use the stock index futures contract real transaction data, to carry out the empirical analysis.更多还原