股指期货套期保值比率的选择  

Research on Selection of Stock Index Futures Hedging Ratio

作　　者：国茂[1] 徐修德[2] 

机构地区：[1]青岛大学经济学院,山东青岛266071 [2]青岛大学国际交流合作处,山东青岛266071

出　　处：《青岛大学学报（自然科学版）》2012年第3期88-92,共5页Journal of Qingdao University(Natural Science Edition)

基　　金：国家自然科学基金资助项目(70971071)

摘　　要：针对股指期货套期保值比率的选择问题,运用我国沪深300现货指数和沪深300股指期货数据进行了实证研究。研究中,把交易成本这一因素考虑进来,通过HE指标和修正的HE指标得出的不同结果作对比,得出交易成本角度下的最优套期保值比率。因此建议股指期货套期保值者根据自身的交易成本情况选择不同的套期保值比率。Aim at the selection of the hedging ratio of the stock index futures, an empirical research method is investigated by using the data of HS 300 stock index and HS 300 stock index futures. Considering the transaction cost of the actual situation of the stock index futures trading, the most optimal hedging ratio is got through the comparison of two different results from HE index and correction of HE index. Results shows that stock index futures hedgers should choose different hedging ratio according to their own trans-action cost.

关 键 词：股指期货 HE指标 修正的HE指标 套期保值比率 

分 类 号：F830.9[经济管理—金融学]