沪深300股指期货套期保值模型选择与绩效评价  

Selection and Performance Evaluation and of Hedging Model for CSI 300 Stock Index Futures

作　　者：顾京 叶德磊[2] 

机构地区：[1]中国工商银行上海分行虹口支行,上海200080 [2]华东师范大学商学院,上海200241

出　　处：《金融发展研究》2013年第11期3-7,共5页Journal Of Financial Development Research

摘　　要：基于不同套期保值模型,本文对沪深300股指期货的套期保值效应进行了实证分析,并通过"风险最小化"原则和"效用最大化"原则分别比较不同模型的套期保值绩效。结果发现,在"风险最小化"原则下,无论是对于样本内还是样本外数据,对角ECM-BGARCH(1,1)模型的套期保值绩效都为最优;在"效用最大化"原则下,无论风险系数水平如何,样本内DCC-GARCH模型的套期保值绩效最优,样本外标量ECM-BGARCH(1,1)模型的套期保值绩效最优。In accordance with different hedging models, this paper conducts an empirical analysis on the optimal hedging ratio of CSI 300 stock index futures, and compare the hedging effectiveness of the different hedging models, based on the principle of ＂minimum variance＂ and ＂optimum utility＂ . The empirical results indicate that based on the ＂minimum variance principle, diagonal ECM-BGARCH （ 1, 1） model is the best model to evaluate the opti- mal hedging ratio for both in-sample dates and out-sample dates. Based on the ＂optimum utility＂ principle, regardless of the size of risk aversion parameter, DCC-GARCH is the best hedging model for in-sample dates and Scalar ECM- BGARCH （ 1, 1 ） is the best hedging model for out-sample dates.

关 键 词：沪深300股指期货 套期保值模型 套期保值绩效 

分 类 号：F830[经济管理—金融学]