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现金结算价与股指期货套期保值决策 被引量：3

Hedging Index Futures with Cash Settlement Price Setting
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摘要 股指期货采用的现金结算价计算方式因市场而异,套期保值决策也应该相应调整.基于现金指数价格服从几何布朗运动的假设,通过探讨平均现金结算价下的股指期货定价,分析了现金结算价确定所导致的期货价格偏离持有成本模型的期货价格过程,并在此基础上计算了最优的套期保值策略. The cash settlement of index futures is different among differrent countries, so is the decision of hedging. Based on the hypothese of Brown motion of cash index price, this article analyzed the process of futures price deviating from the cost-of-carry model caused by the cash settlement by exploring the index futures＇ pricing under cash settlement. And the optimal decision of hedging was computed based on the futures pricing.
作者 郑尊信 吴冲锋
机构地区 上海交通大学安泰经济与管理学院
出处 《上海交通大学学报》 EI CAS CSCD 北大核心 2006年第9期1592-1595,共4页 Journal of Shanghai Jiaotong University
基金 国家自然科学基金资助项目(70331001)
关键词 股指期货 套期保值 现金结算价 最优套头率 index futures hedging cash settlement optimal hedge ratio （OHR）
分类号 F830.9 [经济管理—金融学]
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参考文献12

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同被引文献43

  • 1MACKINLAY A C, RAMASWAMY K. Index-futures arbitrage and the behavior of stock index futures prices [ J ]. Th Review of Financial Studies, 1988, 1 (2) : 137 - 158.
  • 2STOLL H R, WHALEY R E. The dynamics of stock index and stock index futures returns [ J ]. Journal of Financial and Quantitative Analysis, 1990, 25(4): 441 - 468.
  • 3CHAN K. A further analysis of the lead-lag relationship between the cash market and stock index futures market [ J]. Review of Financial Studies, 1992, 5( 1 ) : 123 - 152.
  • 4GHOSH A. Cointegration and error correction models: intertemporal causality between index and prices [ J ]. Journal of Futures Markets, 2006, 13(2) : 193 - 198.
  • 5WAHAB M, LASHGARI M. Price dynamics and error correction in stock index and stock index futures mar- kets : a cointegration approach [ J ]. Journal of Futures Markets, 2006, 13(7): 711 -742.
  • 6ABHYANKAR A. Return and volatility dynamics in the FTSE - 100 stock index and stock index futures markets [ J ]. Journal of Futures Markets, 1995, 15 (4) : 457 - 488.
  • 7NOVALES A, LAFUENTE J A. Optimal hedging under departures from the cost-of-carry valuation: Evidence from the Spanish stock index futures market [ J ]. Journal of Banking & Finance, 2003 (27) : 1053 - 1078.
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  • 10Stoll, H. R., Whaley, R. E., 1990. The Dynamics of Stock Index and Stock Index Futures Returns. Journal of Financial and Quantitative Analysis, 25: 441-446

引证文献3

上海交通大学学报
2006年 第9期

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