股指期货的套期保值问题

The Hedging Issue of Stock Index Futures

中国金融市场即将推出股票指数期货。本文吸收和借鉴了国外的研究成果,对股指期货的套期保值问题进行了系统研究,采用方差法和β系数法对风险最小化的套期保值比率进行了充分论证,并结合案例进行了模拟计算。本文根据资本资产定价模型,建立了一元线性回归方程,对流行的β系数法进行了检验和重要修正,对套期保值实践具有重要的指导意义。

China＇s finance market will be introduced stock index futures in the near future. After learning and absorbing oversea studies, this paper systematically explained the hedging issue of stock index futures. It adequately analyzed and proved the risk-minimizing hedge ratio using the different methods of variance and β coefficient, and made three mock calculations using assumed cases in China＇s stock/futures markets. According to the Capital Asset Price Model （CAPM）, the paper set up a linear regression model with a single regressor, tested the popular β coefficient in hedge ratio and updated it with an important modification. The paper has important significance in guiding China＇s hedging practice of stock index futures.