沪深300股指期货套期保值效率度量研究--基于沪深300 ETF的实证分析

摘要

基于沪深300股指期货真实交易数据，选取对指数拟合程度高且可交易的沪深300ETF为现货研究对象，运用静态套期保值比率估计模型（OLS、B-VAR、VECM）和动态套期保值比率估计模型（VECM-BGARCH、DBEKK-GARCH、DCC-GARCH、NormCopula-GARCH、tCopula-GARCH）对最优套期保值比率进行估计，并对规避风险效果进行比较。结果表明：无论在样本内期间和样本外期间中，各模型反映出的沪深300股指期货套期保值效率都较高，考虑期货与现货市场动态相关性的NormCopula-GARCH 模型套期保值效果最优。%This paper selected CSI 300ETF which can fit CSI 300 index better and tradable as a spot research object,used the static hedging ratio estimation model (OLS,B-VAR,VECM)and the dynamic hedging ratio estimation model (VECM-BGARCH,DBEKK-GARCH,DCC-GARCH,Norm Copula-GARCH,tCopula-GARCH)to estimate the optimal hedging ratio based on actual transaction data of CSI 300 stock index futures.Furthermore,the hedging effectiveness of different models was tested and compared.The results showed that:both in the sample and out-sample period,the hedging effect by using CSI 300 index futures was good for each model.NormCopula-GARCH model that considering the dynamic correlation of futures and spot market has advantage of existing hedging ratio estimation models,it provides reference in the risk aversion for investors.