中国股指期货标的指数的实证分析

An Empirical Analysis of Benchmark Index of Chinese Stock Index Futures

本文运用最小方差模型,对中国现有四个主要指数进行实证分析。结果表明:上证综指最适合作为股指期货标的指数;深综指套期保值成本最低,但套期保值效率也最低;深成指套期保值效率比较高,套期保值成本也较高;180指数目前还不适合作为标的指数。同时本文还对我国股指期货标的指数的选择提出建议。

Employing the Minimum Variance Model, the paper analyses the four main indexes in China's Mainland. The result shows that SSE composite index proves to be the most suitable index. The hedging cost of SZSE composite index is the lowest, but its hedging effectiveness is also the lowest, while the hedging effectiveness of SZSE composite subindex is higher, its hedging cost is also higher. SSE 180 index isn't suitable to serve as the benchmark index at present. 