沪深300股指期货与标准普尔500指数套期保值效果的比较研究  

A Comparison of Hedging Effect Between Shanghai-Shenzhen CSI 300 Index Futures and Standard & Poor's 500 Index Futures

作　　者：贾广月[1] 

机构地区：[1]上海理工大学管理学院,上海200093

出　　处：《商业经济》2013年第2期106-108,110,共4页Business & Economy

摘　　要：采用OLS、ECM、GARCH模型分别对沪深300股指期货和标准普尔500股指期货的最优套期保值比率及其套期保值效果进行了对比分析,结果表明:无论是沪深300还是标准普尔500股指期货,如果不考虑期货与现货之间的协整关系,得出的最优套期保值比率均偏小,致使套期保值效果不能达到最佳;基于套期保值效果稳定性方面考虑,最优套期保值模型均是GARCH模型;不管是在样本内还是样本外沪深300股指期货的套期保值效果均比标准普尔500股指期货的套期保值效果差。我国政府应该采取相应措施,引导股指期货市场进一步完善和发展。Analyzing the optimal hedging ratio and effect of Shanghai-Shenzhen CSI 300 index futures and Standard ＆ Poor＇s 500 index futures respectively with OLS, ECM, and GARCH model, it is found that without consideration of the cointegration relationship between futures and prompt goods, the optimal hedging ratio of both Shanghai-Shenzhen CSI 300 and Standard ＆ Poor＇s 500 index futures are low, the reflection of a less satisfing hedging effect. Moreover, the optimal hedging model is GARCH in terms of stability; no matter inside or outside the samples, the hedging effect of Shanghai-Shenzhen 300 CSI index futures is worse than that of Standard ＆ Poor＇s. So the Chi- nese government must take responding measures to guide the improvement and development of the future market.

关 键 词：股指期货 套期保值 最优套期保值比率 绩效分析 

分 类 号：F830.91[经济管理—金融学]