基于投资者情绪视角下的股指期货套期保值  

Hedging of Stock Index Futures from the Perspective of Investor Sentiments

作　　者：牛红娟 NIU Hongjuan(School of Statistics and Data Science,Lanzhou University of Finance and Economics,Lanzhou 730020,China)

机构地区：[1]兰州财经大学统计与数据科学学院,兰州730020

出　　处：《科技和产业》2024年第20期156-164,共9页Science Technology and Industry

摘　　要：以沪深300股指期货为研究对象,采用t-Copula-ECM-GARCH动态模型,研究沪深300股指期货的最优套期保值策略,并将其与最小二乘法(OLS)等传统套期保值策略进行比较。通过主成分分析方法(PCA)构建股票现货市场和股指期货市场的投资者情绪指数,并将其分别引入上述模型中。结果表明,与未考虑投资者情绪的套期保值策略相比,加入投资者情绪指数后沪深300股指期货的套期保值效果明显提高。说明基于投资者情绪的套期保值模型比原有模型规避风险的效果更好。Taking the Shanghai and Shenzhen 300 stock index futures as the research object,the optimal hedging strategy of CSI 300 stock index futures was studied by using t-Copula-ECM-GARCH dynamic model,and compared with traditional hedging strategies such as OLS.The investor sentiment index of stock spot market and stock index futures market was constructed by principal component analysis(PCA)and introduced into the above model respectively.The results show that the hedging effect of CSI 300 stock index futures after adding investor sentiment index is significantly improved compared with the hedging strategy without considering investor sentiment.The hedging model based on investor sentiment has a better risk avoidance effect than the original model.

关 键 词：投资者情绪 套期保值 COPULA函数 

分 类 号：F830.9[经济管理—金融学]