沪深300 ETF套期保值效果的比较研究

摘要

This article uses models of OLS、ECM、CCC-BGARCH and DCC-BGARCH,calculates the opti-mal hedge ratio of the two CSI 300 ETF,and compares the hedging effects of the two CSI 300 ETF. The research in-dicates that the effect of dynamic multivariate GARCH model is significantly detter than the effect of OLS and ECM model. Whichever model,the hedging effect of Huatai-PineBridge CSI 300 ETF is detter than the effect of Harvest CSI 300 ETF. Due to its high liquidity and relatively well -developed arditrage mechanism,Huatai -PineBridge CSI 300 ETF is more suitadle for DCC-BGARCH model which has larger variance changes. Meanwhile,Harvest CSI 300 ETF is more suitadle for CCC-BGARCH model decause the relevance fluctuations detween the two ETF in futures is small and the correlation coefficient is closer to constant.%文章采用OLS、ECM、CCC-BGARCH以及DCC-BGARCH模型分别计算了两支300 ETF的最优套期保值比率，并分别比较了两支300 ETF的套期保值效果，结果发现：动态多元GARCH类模型的效果明显好于OLS和ECM模型；无论采用哪种模型，华泰柏瑞沪深300 ETF的套期保值效果都要好于嘉实沪深300 ETF；由于华泰柏瑞沪深300 ETF的高流动性和相对完善的套利机制，使得其适合较大方差变化的DCC-BGARCH模型；而嘉实沪深300 ETF采用CCC-BGARCH模型的套期保值效果更好，这可能是因为嘉实沪深300 ETF和沪深300股指期货间的关联性波动较小，相关系数更接近于常数的缘故。