不同市场状态下股指期货套期保值效率研究——异常波动事件的影响效应  

The research on the hedging efficiency of CSI300 stock index futures in different market states——The impact of abnormal fluctuation

作　　者：孙洁 金鑫 张云 SUN Jie;JIN Xin;ZHANG Yun(School of Finance,Shanghai Lixin University of Accounting and Finance,Shanghai 201209,China;School of Economics,Shanghai University of Finance and Economics,Shanghai 200433,China)

机构地区：[1]上海立信会计金融学院金融学院,上海201209 [2]上海财经大学经济学院,上海200433

出　　处：《系统工程理论与实践》2023年第1期76-90,共15页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(71773069,72074150);上海高校青年教师培养资助计划(ZZLX21019)。

摘　　要：本文以股市异常波动为背景系统地考察了沪深300股指期货在不同市场状态下动态套期保值效率的变化,以探究异常波动和交易限制措施对股指期货套期保值功能的影响.本文基于日内高频数据建立已实现协方差(RCOV)和已实现相关系数来度量期现收益率相关性,进而建立RCOV-Wishart-HAR模型以及MVGARCH族模型用于动态套期保值.本文的实证结果表明股指期现收益相关性在异常波动中出现下降,并在严格的交易限制措施出台后受到进一步冲击.股指期货的风险对冲效率相应地在异常波动中出现下降,但仍能够对冲70%以上的市场波动风险;近年来,随着交易限制的逐渐松绑和市场波动率的降低,股指期货的风险对冲效率出现回升.套保成本在异常波动中最低,而交易受限后套保成本高于受限之前的水平,并没有随着交易限制的松绑而下降.以上结果表明股指期货在异常波动中较好的发挥了套期保值功能,交易限制措施阻碍了套期保值功能的发挥,现行的松绑政策一定程度上促进了股指期货套期保值功能的恢复,但仍有进一步的政策空间.This paper concerns on the dynamic hedging efficiency of CSI300 index futures during the 2015 Chinese stock market abnormal fluctuation and after the implementation of strict trading restrictions. We utilize the realized covariance(RCOV) and realized correlation coefficient based on high-frequency data to measure the daily return correlation between CSI 300 index futures and the spot. Then we establish the RCOV-Wishart-HAR model as well as MVGARCH models to assess the hedging efficiency of CSI 300 index futures among different market status. The empirical results show that the return correlation between index futures and the spot decreases during the abnormal fluctuation, and is severely affected by the stringent trading restrictions.The hedging efficiency decreases during 2015 abnormal fluctuation, but there is still more than70% systematic risk hedged by index futures. Moreover, hedging is most cost-efficiency during abnormal fluctuation. The strict trading restrictions result in negative impact on the intraday correlation between IF and spot return, thus the hedging performance becomes worse than that of steady period before the crash. As partial release of trading restrictions in recent years, the hedging efficiency increases but the hedging cost is still higher than that during the steady period before restriction implementation. The empirical results indicate that the hedging function of index futures works well during 2015 abnormal fluctuation, and is negatively impacted by strict trading restrictions. Therefore, it is necessary to release the trading restrictions in order to improve the risk management performance of index futures.

关 键 词：异常波动 股指期货 套期保值 已实现协方差 

分 类 号：F832.5[经济管理—金融学]