股指期货标的资产有效性分析  

On the Effectiveness of the Underlying Assets of Stock Index Futures

作　　者：叶永刚[1] 吕思颖[1] 

机构地区：[1]武汉大学经济与管理学院,武汉430072

出　　处：《合肥工业大学学报（社会科学版）》2008年第2期1-6,共6页Journal of Hefei University of Technology(Social Sciences)

摘　　要：股票指数期货交易的实质是通过对股票趋势持不同判断的投资者的买卖,来冲抵股票市场的风险。通过建立BGARCH模型计算沪深300股指期货对现货指数的最优套期保值比率,对套期保值效果进行分析,进而验证沪深300指数作为我国推出的第一份股指期货合约标的资产的有效性。The essence of stock index futures is that through the trading of investors who have the different judgment of the trend of stock market to offset their risks of spot market. The optimal hedge ratio of Shanghai and Shenzhen 300 stock index futures on the spot Shanghai and Shenzhen 300 index is calculated by establishing BGARCH model and analysis the effect of hedging in order to exam the effectiveness of setting Shanghai and Shenzhen 300 stock index as the underlying assets of the first stock index futures contract in our country.

关 键 词：股指期货 标的资产 BGARCH模型 最优套期保值比率 

分 类 号：F830.91[经济管理—金融学]