我国沪深300股指期货套期保值效果的实证研究  

An Empirical Analysis on the China's Shanghai and Shenzhen 300 Index Futures Hedging

作　　者：尚秀芬[1] 

机构地区：[1]上海金融学院,上海201209

出　　处：《上海金融学院学报》2015年第6期88-95,共8页Journal of Shanhai Finance University

基　　金：上海市教委科研创新项目(B-7600-13-005)

摘　　要：在证券市场上,通过构建投资组合,投资者可以很好地规避非系统性风险,而系统性风险是由整个经济或政治形势的变化所造成,不随投资者的意愿而改变。要规避系统性风险,主要在于套期保值,套期保值比率在很大程度上决定了套期保值的有效性。本文通过构建模型来研究我国沪深300股指期货套期保值的效果,按照时间长度的不同,找出最优的套期保值率,使套期保值效果达到最好。In the securities market, by building a portfolio, investors can avoid the systemic risk.While systemic risk is caused by the economy as a whole or the change of political situation, investors can＇t change it. To avoid systemic risk, the main way is hedging, hedging ratio to a large extent determines the effectiveness of hedging. In this paper, we set up a model to study the effects of the 300 stock index futures hedging in China, depending on the length of time, we find out the optimal hedging resale value and the best hedging effect.

关 键 词：系统性风险 股指期货 套期保值 最优套保比率 

分 类 号：F830.9[经济管理—金融学]