恒生指数和沪深300股指期货套期保值效果对比研究  

Comparison Study of Hedge Effectiveness of Hang Sheng Stock Index and CSI 300 Stock Index Futures Contracts

作　　者：贺鹏[1] 杨招军[2] 

机构地区：[1]湖南大学经济与贸易学院 [2]湖南大学金融与统计学院

出　　处：《投资研究》2012年第4期123-133,共11页Review of Investment Studies

基　　金：国家自然科学基金项目(70971037)<部分信息消费效用无差别定价和风险对冲研究>

摘　　要：本文利用OLS、ECM、ECM-GARCH模型对沪深300股指期货和恒生指数期货的最优套期保值率进行了估算,并在风险最小化框架下对它们的套期保值效果进行了对比研究。结果发现:无论是哪种股指期货,不考虑期现货间存在的协整关系会使估算的最优套期保值率偏高,影响套期保值效果;其次是虽然在样本内外,沪深300股指期货的套期保值效果比恒生指数期货的好,但是沪深300股指期货套期保值效果的稳定性比恒生指数差。此时,ECM-GARCH和OLS模型分别为样本内外投资者利用沪深300指数期货进行套期保值时的最佳选择;对于恒生指数股指期货,最优模型是ECM。In the paper we choose three different models：OLS,ECM and ECM-GARCH to estimate the optimal hedge ratios of CSI 300 stock index futures and Hang Sheng stock index futures respectively.And we compare the hedging efficiency of them during the framework of risk-minimization.The results indicate that：if it neglects the co integration between the futures and spot for both of them,it would make the optimal hedge ratios overestimated so that the hedging efficiency of them is poorer;secondly,the hedging efficiency of CSI 300 stock index futures is better than Hang Sheng stock index futures both in-sample and out-of-sample,but the stability of hedging efficiency of CSI 300 stock index futures is Lower than Hang Sheng stock index futures＇ during in-sample and out-of-sample.Then ECM-GARCH and OLS model are the best choice respectively during in-sample and out-of-sample for the investors when they choose CSI 300 stock index futures to hedge,but for Hang Sheng stock index futures,ECM model is the best choice.

关 键 词：套期保值效果 最优套期保值率 股指期货 

分 类 号：F224[经济管理—国民经济] F832.5