基于MRS Copula-GJR-Skewed-t模型的股指期货套期保值研究  

Hedging of stock index futures based on Markov regime-switching Copula-GJR-Skewed-t model

作　　者：谢赤[1,2] 余聪[1] 罗长青[1] 王纲金[1] 

机构地区：[1]湖南大学工商管理学院,湖南长沙410082 [2]湖南大学金融与投资管理研究中心,湖南长沙410082

出　　处：《系统工程学报》2013年第1期83-93,共11页Journal of Systems Engineering

基　　金：国家社会科学基金重点资助项目(07AJL005);国家软科学研究计划资助项目(2010GXS5B141);教育部创新群体资助项目(IRT0916);教育部人文社会科学规划资助项目(09YJC630063);湖南省社会科学基金资助项目(09YBA037)

摘　　要：构建了一个基于马尔可夫状态转换Copula函数的GJR-Skew-t模型,用以估计4个亚洲证券市场中股指期货与指数现货之间的最小方差套期保值比率.实证研究表明:动态套期保值模型的风险规避效果明显优于静态模型;根据套期保值组合方差降低百分比,该模型套期保值效果比其它动态策略有显著提升;除日本市场外,基于马尔可夫状态转换Copula函数的套期保值模型可以获得比传统模型更高的收益,这意味着该策略模型有助于降低套期保值成本.This paper constructs a GJR-Skew-t model based on Copula functions with Markov regime switching to estimate the minimum variance hedging ratio between the returns of stock index futures and spots in four Asian markets. The empirical results show that the risk mitigation degree of the dynamic hedging models is higher than that of the static models. Based on the analysis of the variance reduction of hedging portfolio, the dynamic models are more effective than other models. Moreover, the proposed Markov regime-switching Copula-GJR-Skewed-t model can gain higher revenues than the traditional models except for the Japanese market, which means that our model contributes to reduce the cost of hedging.

关 键 词：股指期货 套期保值 马尔可夫状态转换Copula函数 

分 类 号：F830.91[经济管理—金融学]