| 股指期货套期保值理论及模型的演进与实证研究 |
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| 引用本文： | 王永杰,张斌.股指期货套期保值理论及模型的演进与实证研究[J].经济研究导刊,2011(16):42-44. |
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| 作者姓名： | 王永杰 张斌 |
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| 作者单位： | 1. 青岛大学经济学院,山东,青岛,266071
2. 中国建设银行股份有限公司青岛瞿塘峡路支行,山东,青岛,266071 |
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| 摘 要： | 将对股指期货套期保值策略进行比较全面的理论和实证研究。首先,概述了股指期货套期保值的相关理论,综述了套期保值的关键环节是最优套期保值比率的确定的相关的模型;其次,运用协整等分析方法,采用最小二乘回归模型（OLS）、向量自回归模型（VAR）、误差修正模型（ECM）、广义自回归条件异方差模型（GARCH）,分别对中国沪深300股指期货最优套期保值比率进行了实证研究,并对各模型的套期保值绩效做出了评价,得出ECM模型是最优的,是最适合中国沪深300股指期货的套期保值率估计模型。
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| 关 键 词： | 沪深300股指期货 最优套期保值比率 套期保值 ECM |
The Evolution of Stock Index Futures Hedging Theory and Empirical Research Model |
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| WANG Yong-jie,ZHANG Bin.The Evolution of Stock Index Futures Hedging Theory and Empirical Research Model[J].Economic Research Guide,2011(16):42-44. |
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| Authors: | WANG Yong-jie ZHANG Bin |
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| Institution: | 1.Qingdao University,School of Economics,Qingdao 266071,China; 2.China Construction Bank,Qingdao Branch Qutangxia Road,Qingdao 266071,China) |
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| Abstract: | The article will carry on the quite comprehensive theoretical and empirical research to the hedging strategy of stock index futures.First of all,the article outlines the hedging transaction theories,and it summarizes that the key point of hedging are the determination of the best hedging ratio.Secondly,we make the empirical research on the best hedging ratio of Chinese HS300 stock index futures,using cointegration and other analytic methods and using OLS、 VAR、 ECM、GARCH.We evaluate the validity of hedging to each model,and concluded that ECM model is relatively the best. |
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| Keywords: | HS300 stock index futures the best hedging ratio hedging strategy ECM model |
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