我国股指期货套期保值策略及最佳套期保值率研究

A Study of Chnese Stock Index Future Hedge Strategy and Optimal Hedge Ratio

套期保值是股指期货最主要的功能之一,针对我国股市的特点,首先研究在我国证券市场如何应用股指期货进行套期保值,在此基础上,采用两种不同的思路,给出确定最佳套期保值率的方法,并在初步的理论研究基础上,指出应用最小二乘法确定最佳套期保值率是一种合适的选择。该研究对我国股指期货的到来提供了先行理论,有一定的实际意义。

Hedging is the main function of stock index future. According to the peculiarity of our country stock market, we analyze how to apply stock index future to hedge. Then we use two different methods to find optimal hedge ratio. Based on a primary theoretical research, we regard that the ordinary least squares is a proper method to decide the optimal hedge ratios. This research provides a theory foundation for the coming China stock future and the conclusions have definitely significance in application.