华东师范大学(哲学社会科学版) ›› 2012, Vol. 44 ›› Issue (4): 132-138.

• 金融问题研究 • 上一篇    下一篇

我国股指期货套期保值效应的实证研究*

叶德磊 顾京   

  1. 华东师范大学商学院， 上海， 200241
  • 出版日期:2012-07-15 发布日期:2012-09-12
  • 通讯作者: 叶德磊 顾京
  • 作者简介:叶德磊 顾京
  • 基金资助:

    本文为上海市哲学社会科学规划项目（2012BJB001）的阶段性研究成果。

A Empirical Study of Hedging Effectiveness of China’s Stock Index Futures

YE De-lei，GU Jing   

  • Online:2012-07-15 Published:2012-09-12
  • Contact: YE De-lei，GU Jing
  • About author: YE De-lei，GU Jing

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摘要： 运用EGARCH模型,分别考察沪深300指数期货与股票现货市场上10大基金重仓股之间、沪深300指数期货与10只随机选取的深圳证券交易所中小企业板上市的股票之间进行套期保值的效应，发现前者的套期保值效应并不是很理想，后者的效应更差。为了给投资者提供更多的、实用的套期保值工具，我国应该借鉴海外市场的经验，尽早推出中小市值股票指数期货和其他行业股票指数期货，如“中小板综合指数期货”。运用上述同样方法对虚拟的“中小板综合指数期货”的套期保值效应进行模拟实证检验，证明这种政策构想是值得付诸实践的。

关键词: 沪深300指数期货, 套期保值率, 套期保值效率, &ldquo, 中小板综合指数期货&rdquo

Abstract: Using EGARCH model, this thesis first investigates the hedging effectiveness of CSI300 index futures contracting with 10 heaviest warehouse stocks of the fund, and then investigates the hedging effectiveness of CSI300 index futures contracting with 10 stocks that are randomly selected from SME board of the Shenzhen Stock Exchange. It is found that the former hedging effectiveness is not very satisfactory, while the latter effectiveness is even worse. In order to offer more practical hedging tools, China should learn the experiences of overseas markets, and launch index futures on stocks of SME board and stocks of other industries as soon as possible, such as SME index futures. In the end, using the same method, this thesis carries on a simulative empirical test on the hedging performance of virtual SME index futures, which proves that the policy idea is worthy of being put into practice.

Key words: CSI300 index futures, hedge ratio, hedging effectiveness, SME index futures