股指期货的定价及套期保值应用研究.docVIP

股指期货的定价及套期保值有效性研究 －以沪深300为例 摘要 目前我国股票指数期货刚刚推出，而定价问题是股指期货市场的首要问题。本文首先基于完全市场条件下期货定价的持有成本模型, 结合我国资本的弱式效率市场情况, 给出了我国股指期货的合理定价方式。沪深300股票指数期货不仅将为我国股票市场提供重要的规避风险的工具，而且使得我国在金融衍生品的创新中迈出重要一步。如何科学地运用沪深300股指期货进行套期保值成为理论和实践中关注的问题。因此本文其次研究沪深300股指期货与股票型基金的套期保值问题，选用OLS模型计算套期保值比率的模型，基于方差最小的准则，估计了国内的股票型基金与沪深300股指期货的套期保值比率，并对套保策略进行检验。实证结果显示我国市场的系统性风险在投资组合面临的总风险中占很大比例，因此使用沪深300股指期货进行套期保值可以明显的减小投资组合的系统性风险。本文的研究结果将为投资者如何利用沪深300股指期货进行套期保值提供理论上的参考。 关键词:股指期货;股指期货定价;持有成本理论;弱式效率市场;沪深300指数;套期保值;套期保值比率 Abstract At present, China has just launched stock index futures, and stock index futures market pricing is the most important issue. Firstly, based on full market conditions holding cost futures pricing model,combined with the weak form efficiency of Chinas capital market, China is given a reasonable pricing of stock index futures. Shanghai and Shenzhen 300 stock index futures will not only important to Chinas stock market a tool to avoid risks, and makes our country the innovation of financial derivatives in an important step. How to use the approach to hedge the Shanghai and Shenzhen 300 stock index futures as theory and practicing concern. This article studies followed by Shanghai and Shenzhen 300 stock index futures and equity hedge fund problems, the choice of model OLS hedge ratio model, based on the criterion of minimum variance, estimate of the domestic stock funds with the Shanghai and Shenzhen 300 stock index futures Hedge ratio, hedging effectiveness and the empirical test. Empirical results show that the systemic risk in our market portfolio the total risk faced by a large proportion, the use of the Shanghai and Shenzhen 300 stock index futures to hedge the portfolio can significantly reduce systemic risk. The results of this study will be how investors use to hedge the Shanghai and Shenzhen 300 Index futures provide a theoretical reference. Key words：Stock index futures; stock index futures pricing; holding cost theory; weak form efficient market; Shanghai and Shenzhen 300 Index; h