我国股指期货套期保值交易策略研究

套期保值交易作为指数期货市场最主要的功能对我国衍生产品市场的发展有着重要的推动作用。文章研究了股指期货市场的套期保值交易方法及其效率的衡量,同时针对我国市场给出了具有实际操作性的套期保值交易策略,并就其风险控制提出了相应的建议。     

Stochastic dominance relationships between stock and stock index futures markets: International evidence

In this paper, we first modify the stochastic dominance (SD) test for risk averters proposed by Davidson and Duclos (2000) to be the SD test for risk seekers. We then adopt both tests to examine the SD relationships between stock indices and their corresponding index futures for 10 countries. The sample contains data from 6 developed countries and 4 developing countries. The study proposes that there should be no SD relationship between spot and futures markets in developed financial markets in which arbitrage opportunities (both pure and quasi) are rare and short-lived. However, we expect that SD relationships could be found in emerging financial markets that have more impediments to arbitrage. Consistent with this conjecture, our study finds that there are no SD relationships between spot and futures markets in the mature market sample, implying that these markets could be efficient. However, for the emerging markets, spot dominates futures for risk averters, while futures dominate spot for risk seekers in the second- and third-order SD. These results indicate that there are potential gains in expected utilities for risk averters (seekers) if they switch their investment from futures (spot) to spot (futures) in the emerging markets.     

The hedging effectiveness of constant and time-varying hedge ratios using three Pacific Basin stock futures

This paper investigates the hedging effectiveness of Australian, Hong Kong, and Japanese stock futures markets. The traditional hedge and the minimum variance hedge ratios are all constant whereas the bivariate GARCH hedge ratio is time varying. The effectiveness of the hedge ratio is compared by investigating the out-of-sample performance of the three ratios. The whole sample consists of weekly returns from January 1990 to December 2000. Two 1-year, out-of-sample periods are used: January 1999 to December 1999 and January 2000 to December 2000. Results show that the time-varying GARCH hedge ratio outperforms the constant ratios in most of the cases. This is true using both out-of-sample periods.     

Expiration and maturity effect: empirical evidence from the Spanish spot and futures stock index

The paper studies how the time remaining to the expiration date of derivative markets affects the volatility of the IBEX-35 index (expiration effect) and its futures market (maturity effect). The innovation of the study lies in both effects being studied together for the Spanish stock market using bivariate ECM-GARCH including dummy variables that express the time left to expiration day. The results obtained show that, during the week of the expiration day, the conditional variance of both markets increases without presenting any significant behaviour in the correlation level. During the second week, however, the conditional variance diminishes and the degree of correlation between both markets increases.     

中国推出股指期货的可行性分析

中国股票市场正在经历前所未有的变革，推出股指期货就是其中之一。推出股指期货可以完善证券市场的功能体系。有利于培育投资者的成熟度，进而促进股市与经济运行的关联程度，发挥股市经济“晴雨表”的功能。同时，中国已有17年股票市场和商品期货市场的管理经验，具备了发展股指期货的条件，只要能充分控制其潜在的风险，推出股指期货对整个股票市场是有利的。     

Exploring the interaction between stock price index and exchange rates: an asymmetric threshold approach

This article examines the impact of stock market news on the foreign exchange markets of USA, Canada and UK, employing an innovative extension of the asymmetric threshold model of Apergis and Miller (2006). Under this framework we can disentangle the reaction of foreign exchange market to bad or good news and small or large news of stock returns. Our comprehensive daily data-set spans the period from January 1990 to June 2014. Using a cointegration and error correction model, we document the existence of a causal relationship between stock market and foreign exchange markets. Most interestingly, our results derived from the asymmetric threshold model confirm that the relationship between stock and foreign exchange markets is sensitive to short-term good or bad news and short-term small or large news. Our findings entail significant implications for policymakers, governments, risk managers and international investors.     

Time and place where gold acts as an inflation hedge: An application of long-run and short-run threshold model

This study examines the short-run and long-run inflation hedging effectiveness of gold in the United States and Japan during the period of January 1971 to January 2010. Previous research has shown in the long-run that inflation tends to appropriately increase the price of gold in the U.S., leading to gold's popularity as an asset in portfolios to reduce the risk against sudden inflation. However, gold is only partially effective in hedging against inflation in Japan. This research found that the rigidity between the price of gold and the consumer price index affects the inflation hedging ability of gold in the long-run. The gold price is characterized by market disequilibrium induced by the price rigidity, causing the price of gold to be unable to response to changes in the CPI. To explore the inflation hedging ability of gold in the short-run, this study further examines the price rigidity in low and high momentum regime. It is found during the low momentum regimes that, gold return is unable to hedge against inflation in either the U.S. or Japan. However, during high momentum regimes, gold return is able to hedge against inflation in the U.S., while the price rigidity in Japan causes the price of gold to not fully hedge against inflation in the short-run.     

Nonlinear dynamics in arbitrage of the S&P 500 index and futures: A threshold error-correction model

Using a three-regime threshold error-correction model, we investigate the nonlinear dynamics of the S&P 500 index and futures. First, using the SupLM statistic, we report estimates of two thresholds for the three-regime model to explain the nonlinear dynamics in arbitrage of the S&P 500 index and futures. This provides empirical evidence of the no-arbitrage band predicted by the cost-of-carry model. Second, using quasi-maximum likelihood estimation, we demonstrate that those indexes that are located outside the no-arbitrage band are a nonlinear stationary process of mean-reversion to the no-arbitrage band. However, index and futures that are located within the no-arbitrage band are non-stationary. Third, we confirm an earlier finding that futures price leads the nonlinear mean-reverting behavior of the index but not vice versa. Impulse response function analysis and forecasting performance of three-regime error-correction model reinforce our findings and our estimation results are robust with different specifications of pricing error terms and endogenous variables.     

Hedging against bunker price fluctuations using petroleum futures contracts: constant versus time-varying hedge ratios

The effectiveness of hedging marine bunker price fluctuations in Rotterdam, Singapore and Houston is examined using different crude oil and petroleum future contracts traded at the New York Mercantile Exchange (NYMEX) and the International Petroleum Exchange (IPE) in London. Using both constant and dynamic hedge ratios, it is found that in and out-of-sample hedging effectiveness is different across regional bunker markets. The most effective futures instruments for out of sample hedging of spot bunker prices in Rotterdam and Singapore are the IPE crude oil futures, while for Houston it is the gas oil futures. Differences in hedging effectiveness across regional markets are attributed to the varying regional supply and demand factors in each market. In comparison to other markets, the cross-market hedging effectiveness investigated in the bunker market is low.     

基于股指期货一分钟高频数据的跨期套利统计策略研究

根据某期货公司提供的股指期货同一商品的两份不同时期的合约(价格一般具有很强的相关性)一分钟的高频数据,根据跨期套利的统计原理,将协整理论应用于两个相关性很强的合约中,通过单位根检验和协整检验,最终得到这两份合约存在良好的协整关系,协整方程为:残差=收盘价1-0.982*收盘价2-37.392.最后根据协整方程制订出跨期套利的统计策略.     

VaR模型在套期保值比率计算中的实证分析

提出了考虑套期保值期内不同期限价格风险的最小平均VaR套期保值比率计算模型。基于我国外汇市场及股票市场数据,用最小平均VaR套期保值模型进行了实证分析,并同常用的最小方差及最小VaR套期保值模型进行了对比,得出了最小平均VaR模型在套期保值过程中的效果要优于其他两种模型,并能更有效地降低投资者提前终止套期保值可能面临额外风险的结论。     

Testing for threshold cointegration and error correction: evidence in the petroleum futures market

This article examines the existence of threshold cointegration between futures and spot prices for the Brent petroleum market. We then estimate the asymmetric error-correction specification utilizing the Momentum Threshold Autoregressive Consistent (M-TAR-C) approach particularly proposed by Enders and Siklos (2001 Enders, W and Siklos, PL. 2001. Cointegration and threshold adjustment. Journal of Business and Economic Statistics, 19: 166–76. [Taylor & Francis Online], [Web of Science ®] , [Google Scholar]). We find that, for the daily data over 2 January 2001 through 15 October 2006, the petroleum futures prices are cointegrated with the spot prices. This effectively confirms the expectations hypothesis and that asymmetric adjustments for the futures basis towards the long-run value display a negative basis from the long-run equilibrium level more persistently than a positive basis from that level. The empirical result suggests that short-run arbitrages manipulating buy-long (sell-short) futures contracts be profitable when a positive basis is weakening (a negative basis is strengthening).     

Estimating the optimal hedge ratio in the presence of potential unknown structural breaks

We propose a new approach in the estimation of the optimal hedge ratio that allows the hedge ratio to vary over time but without the necessity of frequently rebalancing the portfolio. We apply this in the context of the US and UK equity markets using weekly spot share prices and future share prices during the period 5 January 1999 to 29 September 2009. Our method is to test for cointegration in the presence of two potentially unknown structural breaks by determining the timing of each via the underlying data. The empirical findings reveal that the spot and future prices are strongly cointegrated in each market. The estimated parameters disclose that the optimal hedge ratio is not constant in case of the US and the UK. We find one negative and one positive shift in the optimal hedge ratio in the US. However, we find only one significant and positive shift in the optimal hedge ratio in the UK. The implication of these findings from the perspective of both investors as well as policy-makers is elaborated on in the main text.     

Nonlinear predictability of stock market returns: Evidence from nonparametric and threshold models

Recent empirical evidence suggests that stock market returns are predictable from a variety of financial and macroeconomic variables. However, with two exceptions this predictability is based upon a linear functional form. This paper extends this research by considering whether a nonlinear relationship exists between stock market returns and these conditioning variables, and whether this nonlinearity can be exploited for forecast improvements. General nonlinearities are examined using a nonparametric regression technique, which suggest possible threshold behaviour. This leads to estimation of a smooth-transition threshold type model, with the results indicating an improved in-sample performance and marginally superior out-of-sample forecast results.     

运用沪深300股指期货进行期现套利

本文就股票市场与股指期货市场之间的套利机会与套利利润进行了研究,运用持有成本模型对股指期货进行定价,根据股指期货合约的理论价值与市场交易成本,测算无套利区间。本文完整地展现和实证了利用沪深300股指期货和ETF组合进行期现套利的全过程,发现目前模拟的股指期货合约走势基本运行在无套利区间之外,套利利润空间巨大。     

Dynamic linkages between stock markets: the effects of crises and globalization

This paper investigates changes in the dynamics of linkages between selected national stock markets during the period 1995–2009. The analysis focuses on the possible effects of globalization and differences between crisis and non-crisis periods. We model the dynamics of dependencies between the series of daily returns on selected stock indices over different time periods, and compare strength of the linkages. Our tools are dynamic copula models and a formal sequential testing procedure based on the model confidence set methodology. We consider two types of dependencies: regular dependence measured by means of the conditional Spearman’s rho, and dependencies in extremes quantified by the conditional tail dependence coefficients. The main result consists of a collection of rankings created for the considered subperiods, which show how the mean level of strength of the dependencies have been changing in time. The rankings obtained for Spearman’s rho and tail dependencies differ, which allows us to distinguish between the results of crises and the effect of globalization.     

Exploring e-government futures through the application of scenario planning

In this paper, we examine the impact of information and communications technologies (ICT) on government departments/agencies and the contribution of external agents to change and development programs. We present empirical evidence of externally facilitated change to mindsets and patterns of behavior within local government through use of a scenario planning-based approach. Our aim was to facilitate the organizational actors' conduct of investigation of the ‘limits of the possible’ for a range of plausible futures and determination of strategic responses to these. Participants used their own current knowledge and understanding as a basis for development, with the introduction of external ‘expertise’ to challenge their thinking and to expand their understanding. Following this, we facilitated the participants' elucidation of key uncertainties on the future, exploration of the relationships between them and possible outcomes. The participants then constructed scenarios that outlined four possible and plausible futures. These held explicit meaning for the participants, enabled them to identify implications of each possible future in relation to structure and service requirements and informed analysis of current structure, service, etc. We compare and contrast the process and outcomes of our scenario-planning intervention (based on intuitive logics) with both those of other futures methodologies (decision analysis, Delphi and environmental scanning) and with other scenario methodologies (trend-impact analysis and cross-impact analysis). We argue that the external facilitation of internal generation of knowledge, understanding and meaning, and of exploration of the limits of the possible for the future, is a valuable tool for comprehending strategic choices. We conclude that our scenario approach, utilizing intuitive logics, enables organizational actors to make sense of the complexities and ambiguities that they face and so facilitates strategic change.     

Dynamic modelling of real estate investment trusts and stock markets

Taiwan launched the first case of real estate securitization in 2005. The interrelationship between Taiwan Real Estate Investment Trusts (T-REITs) and the aggregate equity markets and segmented industries has drawn the interests of both investors and academia. This paper employs Toda and Yamamoto's (1995) procedure and the generalized impulse response approach to uncover the extent and the magnitude of the relationship between T-REITs and aggregate and segmented stock prices. We collected daily data of the first two issued T-REITs, Fubon No.1 and Cathay No. 1, from March 2005 to March 2010 and October 2005 to March 2010, respectively, to examine their causal relationships with aggregate stock markets, the financial sector, and the construction sector. The empirical results indicate that all variables have break points, reflecting shocks from the Subprime Mortgage Crisis or deregulation of the Qualified Domestic Institutional Investors (QDII) for Mainland Chinese to invest in Taiwan. We also discover that an individual T-REIT may lead or lag behind stock price indices due to its capitalization scale or business type. The transitory initial impacts of innovations in T-REITs on stock price indices are observed herein.     

A comparison of variance ratio tests of random walk: A case of Asian emerging stock markets

This study re-examines the random walk hypothesis for eight emerging equity markets in Asia: Hong Kong, Indonesia, Korea, Malaysia, the Philippines, Singapore, Taiwan, and Thailand. The hypothesis is tested with two new variance ratio tests–Wright's rank and sign and Whang–Kim subsampling tests–as well as the conventional Lo–MacKinlay and Chow–Denning tests. We found that (i) the stock prices of the eight Asian countries do not follow random walk with the possible exceptions of Taiwan and Korea and (ii) the accelerated opening of the eight stock markets to foreign investors following the Asian financial crisis in 1997 has not significantly altered the mean-reversion patterns of stock price vis-à-vis relative market efficiency. Our study affirms that Wright's and Whang–Kim's tests yield far less ambiguous results as compared to Lo–MacKinlay and Chow–Denning tests.