股指期货套期保值存在的障碍及解决办法

根据我国资本市场现状,着重分析我国股指期货套期保值目前存在的障碍,利用约翰森(Johnson,1960)和斯坦(Stein,1961)的研究成果,阐述一种可行的套期保值方法,其次,通过沪深300指数期货对股指期货套期保值进行实证分析,算出进行套期保值所需的期货合约个数。结果表明本文阐述的方法能够提供一种较为有效的套期保值方法,可以作为实际交易过程中的操作参考。

The obstacle existing in stock index future value maintaining and its solution

First of all, employing the model on hedging by Johnson and Stein, The paper is concerned with the drawback of hedging stock portfolios using index frailties in order to find a good methnd in the capital market at the present time, Second, using one of the re.st popular slock indexes in the capital market, the stock portfolio manager who wants to hedge risk over a certain period of time will use the index future to do so, for example, By shorting these contracts, st.ek pnrtfolio managers can protcet themselves from downsidc price risk of the broader market, In the end, the paper indicates the hedging method is practical and efficient.