随机风险传染、对冲比率及对冲效率的多尺度分析  

Multi-scale Analysis of Stochastic Risk Contagion,Hedge Ratio and Hedging Efficiency

作　　者：郑振龙[1] 郑国忠[1] 

机构地区：[1]厦门大学金融系,福建厦门361005

出　　处：《数理统计与管理》2015年第5期933-950,共18页Journal of Applied Statistics and Management

基　　金：国家自然科学基金项目(71371161);国家青年科学基金资助项目(71101121)的资助

摘　　要：为研究沪深300股指期货对冲比率、对冲效率与对冲期限的关系,基于小波分析方法构建了含溢出效应的VS-MSV-t模型,并与普通小波方法、OLS法对比。研究结果表明:沪深300股指期货与现货市场存在信息溢出及随机风险传染效应的多尺度现象;其波动性与相关性的多尺度导致最优对冲比率、对冲效率的多尺度。相对中长期投资,风险传染效应给短期的投资带来更多风险。对冲效率随对冲期限增加而增加;信息利用程度的不同使得小波方法对冲效率优于OLS法;考虑风险传染的对冲效率较低但更符合实际;相对VaR对冲效率小于方差对冲效率但其检验更有效也更全面。In order to research on the relationship among CSI 300 index futures hedge ratio,hedging efficiency and hedging horizon,the VS-MSV-t model with spillover effect was constructed based on wavelet method,being compared with the ordinary wavelet and OLS method.The conclusions show that：There exit multi-scale phenomena of information overflow and stochastic risk contagion effect between CSI300 stock index future and spot market.The multi-scale characteristics of optimal hedge ratio and hedging efficiency result from the multi-scale characteristics of their volatility and correlation.Compared with long-term investment,risk contagion effect brings more risks for short-term investments.Hedging efficiency increases with duration;different using degree of information makes wavelet more efficient than OLS.The hedging efficiency considering risk contagion is less efficient but more realistic;relative-VaR efficiency is inferior to variance hedging efficiency but more effective and comprehensive.

关 键 词：股指期货 随机风险传染 最优对冲比率 波分析 

分 类 号：F830[经济管理—金融学] O212[理学—概率论与数理统计]