沪深300股指期货套期保值效率度量研究——基于沪深300ETF的实证分析

基于沪深300股指期货真实交易数据,选取对指数拟合程度高且可交易的沪深300ETF为现货研究对象,运用静态套期保值比率估计模型（OLS、B-VAR、VECM）和动态套期保值比率估计模型（VECMBGARCH、DBEKK-GARCH、DCC-GARCH、NormCopula-GARCH、tCopula-GARCH）对最优套期保值比率进行估计,并对规避风险效果进行比较。结果表明：无论在样本内期间和样本外期间中,各模型反映出的沪深300股指期货套期保值效率都较高,考虑期货与现货市场动态相关性的NormCopula-GARCH模型套期保值效果最优。

Empirical Research on Hedging Efficiency Measures of CSI 300 Index Futures Based on CSI 300ETF

This paper selected CSI 300 ETF which can fit CSI 300 index better and tradable as a spot research object,used the static hedging ratio estimation model（OLS,B-VAR,VECM）and the dynamic hedging ratio estimation model（VECMBGARCH,DBEKK-GARCH,DCC-GARCH,Norm Copula-GARCH,tCopula-GARCH）to estimate the optimal hedging ratio based on actual transaction data of CSI 300 stock index futures.Furthermore,the hedging effectiveness of different models was tested and compared.The results showed that：both in the sample and out-sample period,the hedging effect by using CSI 300 index futures was good for each model.NormCopula-GARCH model that considering the dynamic correlation of futures and spot market has advantage of existing hedging ratio estimation models,it provides reference in the risk aversion for investors.