我国股指期货标的资产选择及有效性验证  

Choice and Efficiency Study of the Underlying Assets of the Stock Index Futures

作　　者：吕思颖[1] 

机构地区：[1]武汉大学经济与管理学院,湖北武汉430072

出　　处：《南昌工程学院学报》2006年第3期68-72,共5页Journal of Nanchang Institute of Technology

摘　　要：在对股指期货标的资产选择分析的基础上,采用BGARCH模型计算最小方差下的最佳套期保值比例,对现货套期保值前后的波动率进行比较,验证沪深300指数的有效性并为今后我国股指期货推出的标的指数选择提出建议.The paper is based on the analysis of choosing the underlying assets of the stock index futures, adopting BGARCH model for the optimal investment portfolio with risk free and risk assets to calculate the optimal hedge ratio that minimizes the variance . Furthermore, we compare the volatility of the hedged spot assets with its uncovered portfolio. In this paper, we check the efficiency of using the Hu Sheng 300 index as the underlying assets of the stock index futures and give some advice on how to choose the underlying assets of this kind of derivatives in the future.

关 键 词：股指期货标的资产 BGARCH模型:套期保值 

分 类 号：F830.9[经济管理—金融学] O212.1[理学—概率论与数理统计]