基于沪深300股指期货的ETF套期保值  

A Research of ETF Hedge Based on Shanghai-Shenzhen 300 Index Futures

作　　者：陈原文[1] 唐志锋[1] 

机构地区：[1]华南师范大学数学科学学院,广东广州510631

出　　处：《顺德职业技术学院学报》2012年第3期24-28,共5页Journal of Shunde Polytechnic

摘　　要：基于最小方差准则下,运用OLS、B-VAR、VECM和GARCH 4种套期保值模型对沪深300股指期货的ETF套期保值比率进行分析,并利用了绩效衡量指标对套期保值效果进行实证分析。研究结果表明,OLS、B-VAR、VECM和GARCH4种套期保值模型计算得到的最优套期保值比率及绩效相差不大,都达到很好的套期保值效果,发挥到规避风险的功效。其中,利用OLS模型计算得到的最优套期保值比率达到的套期保值效果最佳。Based on the minimum variance, this paper uses four hedge models, including OLS, B-VAR, VECM, and GARCH, to analyze the ETF hedge ratio of Shanghai-Shenzhen 300 index futures. Meanwhile, applied to analyze the hedge performance The resuh shows that the optimal hedging performance measurement is also ratio and performance gained from estimation of OLS, B-VAR, VECM, and GARCH are similar with favorable performance in hedging and risk-avoidance Furthermore, the optimal hedging ratio calculated from the OLS model proves to be the best hedge performance.

关 键 词：沪深300股指期货 ETF 最优套期保值率 套期保值绩效 

分 类 号：F830.91[经济管理—金融学]