中国股指期货市场套期保值效果的实证研究  

An Empirical Study on the Hedging Effect of China’s Stock Index Futures Market

作　　者：卢米雪 鲁邦克 谭智[3] Lu Mixue;Lu Bangke;Tan Zhi

机构地区：[1]湖北经济学院信息管理与统计学院 [2]中南财经政法大学统计与数学学院 [3]中南财经政法大学工商管理学院

出　　处：《宏观经济研究》2021年第9期44-56,共13页Macroeconomics

摘　　要：运用静态和动态套期保值模型,本文系统、深入地分析了不同股市行情、极端事件发生以及不同套保区间下的中国股指期货市场的套期保值效果。结果显示,熊市的套期保值效果最佳,牛市次之,盘整市的套期保值效果最差;相较"股灾"前、后,"股灾"期间的套期保值比率最低且套期保值效果下降了逾10个百分点;相比3个月、6个月和1年的短期投资者,1年及以上的中、长期投资者的套期保值比率和套期保值效果都有较为明显的提升。综合比较各模型的套期保值效果后发现,动态模型略优于静态模型,ADCC-GARCH模型整体表现最优,表明忽略两市收益条件相关系数的时变特征和非对称特征将导致套期保值比率的下降和套期保值效果的降低。Using static and dynamic hedging models, this paper systematically and thoroughly analyzes the hedging effects of the Chinese stock index futures market under different stock market conditions, extreme events and different hedging intervals. The results show that the hedging effect is best in bear markets, followed by bull markets, and worst in consolidation markets;the hedging ratio is lowest, and the hedging effect decreases by more than 10 percentage points during the ‘crash’ period compared with the pre-crash and post-crash periods;and the hedging effect decreases by more than 10 percentage points compared with the 3-month, 6-month, and 1-year periods. The hedging ratio and hedging effectiveness of medium-and long-term investors of 1 year and above are significantly higher than those of short-term investors of 3 months, 6 months and 1 year. A comprehensive comparison of the hedging effects of the models shows that the dynamic model slightly outperforms the static model, and the ADCC-GARCH model performs best overall, indicating that ignoring the time-varying and asymmetric characteristics of the conditional correlation coefficients of the two markets’ returns will lead to a decrease in the hedging ratio and a decrease in the hedging effect.

关 键 词：股指期货 套期保值效果 市场行情 极端事件 套保区间 

分 类 号：F832.5[经济管理—金融学]