沪深300股指期货套期保值比率及有效性研究

沪深300股指期货是我国正式推出的第一只指数期货合约,它对我国金融市场产生了重大的影响,因此,探讨其套期保值比率及有效性具有重要的现实意义。而运用OLS、VAR、VECM三种静态套期保值模型以及VAR-MGARCH、VECM-MGARCH两种动态套期保值模型对沪深300股指期货套期保值比率及其有效性进行研究,结果发现:无论是样本内还是样本外,动态模型都优于静态模型,其中VECM-MGARCH模型估算的套期保值比率是最高的;VECM要优于VAR、OLS模型。

Empirical Study on CSI 300 Stock Index Futures’ Ratio and Hedging Effectiveness

CSI 300 stock index futures is the first index futures contract in china.Studies of its hedging ratio and effectiveness have important practical significance.Hedging ratio and effectiveness are examined by the use of constant model,which consist of OLS,VAR,and VECM models.To estimate dynamic hedging ratios,we use VAR-MGARCH and VECM-MGARCH and compare in-sample and out-of-sample performances of these models in reducing portfolio risk.We find that the dynamic models could provide higher variance reduction,and the VECM-MGARCH model renders best performance.For constant model,we could conclude that the performance of VRCM model provides better variance reduction than those of OLS and VAR model.