沪深300股指期货对冲效率研究

本文首先通过在VECM-GARCH模型中引入非对称基差，研究了基差对我国沪深300股指期货和现货回报的条件均值与风险结构影响的非对称效应。在此基础上分别以方差最小化（MVHR）和效用最大化（UMHR）为标准，考察了包含VECM-GARCH-X在内六种不同模型在样本内外的风险对冲效果，并探索投资者风险厌恶系数与对冲成本对最优套期保值模型选取的影响。最后得出：基差对沪深300股指期货和现货回报的条件均值和风险结构都存在显著的非对称效应，在一般风险厌恶水平下考虑基差非对称效应的VECM-GARCH-X模型能够总体上提高对冲效率，但是无法弥补动态调整增加的额外交易成本，因此固定对冲比率的OLS模型在实践中仍然更优；同时最优套期保值模型的选择与投资者的风险厌恶系数显著相关，风险厌恶程度越大，动态套期保值模型的效果就越好，这一发现也得到了论文最后最优调整频率研究结论的进一步证实。

Hedging Effectiveness of the Hushen 300 Stock Index Futures Contracts

The correct calculation of stock index futures' hedge ratios depends on a number of parameters including: the investors' objectives and level of risk aversion; the models that are used to estimate empirically the optimal hedgers; and whether in-sample or out-of-sample horizons. A framework is present in this paper that can be utilized to investigate the influence of above factors on the determination of Hushen 300 stock index futures' hedge ratios by empirical research. Firstly, asymmetric basis is inserted into the VECM-GARCH model to deal with the asymmetric effect of basis on the time-varying variance-covariance of index futures and spot returns and its impacts on dynamic hedging. Then the hedging effect of six models including VECM-GARCH-X is studied by the standards of minimum variance and utility maximizing both in-sample and out-of-samples. The effect of risk-aversion coefficients on the choice of the most suitable model is also investigated. The data sets used consist of daily (545 prices) cash and futures prices of the Hushen 300 stock index futures market from 16 April 2010 to 16 July 2012. Results indicate that the basis effect is asymmetric, and the model with the asymmetric effect provides greater risk reduction in general. But under the general risk-aversion coefficient the enhanced utility cannot make up the additional transaction costs from the dynamic hedging strategies, so constant hedging model like OLS can perform better in reality. Moreover, the choice of the best hedging model has great relation with the investors' risk-aversion coefficients. The higher the risk-aversion coefficients is, the better the dynamic hedging models perform, which is testified by the research of optimal rebalancing frequencies at the end of paper. The main contribution of this study is to present more realistic thread of analysis and theoretical direction, thus such research results possess the great practical significance and practical value.