股指期货与沪深300指数套期保值策略研究.pdf

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1、ThestudyofhedgingratiosbetweenstockindexandstockindexfutureinChinaII摘要沪深300股指期货是重要的套期保值工具，但国内的相关研究仍未成体系。为弥补研究上的空白，本文总结了国内外研究的重点，对沪深300股指期货的内容、特点和现状进行了介绍，梳理了期货套期保值的原理和风险，着重描述了四种套期保值比率的估计方法。实证研究中，本文以B-VAR模型为基础，利用股指期货正式运行以来的989组数据估计出0.9472的最优套期保值比率，并根据该套期保值方案在He指标上的表现得出了套期保值有效的结论，

2、并应用MACD择时策略改善套期保值方案，从而对实际操作产生更好的指导作用。关键词：股指期货，套期保值，B-VAR，最优对冲比例，择时策略VAbstractBeingvitalforinvestorsinChina,CSI-300futures,unfortunately,havenotbeenthoroughlystudiedbyresearchers.Tocoveruptheblankspots,wesummarizedandrephrasedmainideasofrelevantstudies,introducedthecontent,featu

3、reandcurrenttradingsituationofCSI-300futures,anddescribedtheprincipleandriskoffutureshedging.Specifically,wepresentedfourcommonlyusedapproachesofestimatinghedgeratioandchoseB-VARapproachforourownempiricaltest.Using989setsofdatafromtheoriginatingofCSI-300,wecalculatedanoptimalhe

4、dgeratioof0.9472andconcludeditsefficiencyaccordingtoitsgoodperformancewithHeindicator.Basingontheestimatedhedgeratio,wefurthertestedtheperformanceofhedgingwithtimingstrategyandfoundabetterresultonprofitandrisk.Keywords:CSI-300futures，futurehedging，B-VAR，hedgeratio，timingstrateg

5、yI目录第1章引言............................................11.1研究背景及意义..............................................11.1.1研究背景.................................................................................................................11.1.2研究意义...................................

6、..............................................................................11.2国内外研究综述..............................................21.2.1国外研究文献.........................................................................................................21.2.2国内文献综述..............

7、...........................................................................................41.3研究内容与方法..............................................6第2章沪深300股指期货概述............................82.1股指期货相关介绍............................................82.2沪深300股指期货合约................

8、........................82.2.1沪深300股指期货合约标的物..........