沪深300股指套期保值及投资组合实证研究

Empirical Research for Hedge Ratio and Shares Portfolio of Shanghai-Shenzhen 300 Shares Index Futures

采用协整等分析方法,对沪深300股指标的进行投资组合研究,给出了动态投资组合的操作方法,结果表明基于模型选择的投资组合具有较好的系统均衡性、较小的风险及较高的收益率。同时对静态选择的50只股票组合、基于模型动态选择的17只股票的投资组合以及单个股票投资进行沪深300股指期货套期保值比的模拟实证分析,采用OLS回归模型估计法、双变量向量自回归模型方法、基于协整关系的误差修正模型方法、简化的误差修正模型方法,对不同模型方法下的套期保值比进行实证研究,最后对利用沪深300股指期货进行套期保值的有效性给出评价。

This paper adopts model analysis to study shares portfolio in Shanghai-Shenzhen 300 Shares Index such as cointegrated, etc. New operation method for shares dynamical Portfolio are given. Results show that the shares portfolio based on model-building choosing have good system cquilibrium and less risk and higher yield. At the same time, the paper makes simulated empirical analysis in shares hedging by Shanghai-Shenzhen 300 Shares Index futures for the fifty shares portfolio based on static choosing and the seventeen shares portfolio based on model-building choosing and the singe shares. The paper makes an empirical research for hedge ratio by OLS, bivariate-VAR model, error correction model and simple error correction model separately. The effect of hedge ratio is evaluated and a lot of important results are obtained.