| 中国沪深300指数期货的最优套期保值率 |
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| 引用本文： | 杜重华,梁素荣,王维国.中国沪深300指数期货的最优套期保值率[J].辽宁工程技术大学学报(社会科学版),2011,13(3):253-257. |
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| 作者姓名： | 杜重华 梁素荣 王维国 |
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| 作者单位： | 东北财经大学数学与数量经济学院,辽宁,大连,116025;东北财经大学经济计量分析与预测研究中心,辽宁,大连,116025 |
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| 基金项目： | 辽宁省教育厅2007年度创新团队项目计划基金资助项目(2007T050) |
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| 摘 要： | 通过回顾最优套期保值比率的概念和相关计算方法,针对金融市场的数据尖峰厚尾的特点,采用EGARCH模型对股指期货和现货收益率进行估计;考虑到数据的条件异方差性,指出了传统的线性相关系数对期、现货的关系的估计存在弊端,因此使用Copula函数与秩相关系数Kendalls＇τ对最优套期保值比率进行估计。结果显示：目前中国股票期货的最优套期保值比率为0.852。
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| 关 键 词： | 期货 最优套期保值率 Copula-EGARCH Kendalls＇τ 资本市场 |
Optimal hedge ratio of Chinas' CSI 300 index futures |
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| DU Chonghua,LIANG Surong,WANG Weiguo.Optimal hedge ratio of Chinas' CSI 300 index futures[J].Journal of Liaoning Technical University(Social Science Edition),2011,13(3):253-257. |
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| Authors: | DU Chonghua LIANG Surong WANG Weiguo |
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| Institution: | DU Chonghua1,2,LIANG Surong1,WANG Weiguo1,2(1.School of Mathematics and Quantitative Economics,Dongbei University of Finance and Economics,Dalian 116025,China2,.Center for Econometric Analysis and Forecasting,China) |
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| Abstract: | In view of the concept and related calculating methods of the optimal hedge ratio as well as peaked and ‘fat tail’ characteristics of financial market data,EGARCH model was adopted to estimate the returns of stock index and spots futures.Given the conditional heteroskedasticity of data,it is pointed out that the estimate made by traditional linear correlation coefficient of the relationship between futures and spots is not accurate;therefore,Copula Function and Kendall＇s rank correlation coefficient was used for the ratio＇s estimation.The result shows that the current optimal hedge ratio of China＇s stock futures is 0.852. |
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| Keywords: | futures optimal hedge ratio Copula-EGARCH Kendall＇s τ capital market |
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