中国股指期货标的指数的套期保值效果实证分析  

An Empirical Analysis of Hedging Effect of the Underlying Index of China Stock Index Futures

作　　者：杨胜刚[1] 汪琛德[1] 樊智 

机构地区：[1]湖南大学金融学院,湖南长沙410079 [2]工银瑞信基金管理公司,北京100010

出　　处：《财经理论与实践》2008年第2期47-52,共6页The Theory and Practice of Finance and Economics

基　　金：国家自然科学基金面上项目(70773038)

摘　　要：期货市场的一大功能是套期保值,因此,套期保值效果是衡量股指期货标的指数优劣的一个重要指标。根据组合投资套期保值理论,运用最小方差法,以中标50和道中88指数模拟现货股票投资组合进行的实证分析表明:五只我国统一市场基准指数新富A200、沪深300、中标300、新富A600和道中600中套期保值效果,最佳的是新富A600。Hedging is one of the important functions for futures market, therefore, hedging effect is the key barometer for measuring the priority of the underlying index. Based on the Theory of Portfolio Hedging and the Least Variance Method, this paper analyzes the hedging effects of five China unified benchmark indexes empirically, such as Xinfu A200, Hushen 300, Zhonghiao 300, Xinfu A600 and Daozhong 600, using Zhongbiao 50 and Daozhong 88 to simulate the stock market portfolio. Conclusions show that the hedging effect of Xinfu A600 is the best.

关 键 词：股指期货标的指数 最小方差法 套期保值成本 套期保值效果 

分 类 号：F830.9[经济管理—金融学]