股指期货最优套期保值与绩效评价——基于分位数回归的实证研究

Optimal hedge ratio of stock index futures and the performance evaluation

针对股指期货套期保值的问题,利用分位数回归方法对沪深300指数中权重占前两位的股票的最优套期保值比率进行了实证测算和绩效评价,实证结果表明:运用分位数回归计算得到的最优套期保值比率都大于0.99,在不同分位点上,期货收益对现货收益的影响大小及变动情况存在明显差异。

In view of the stock index futures heging problem,this paper uses quantile regression on the top two stocks whose weights are the largest of the Shanghai and Shenzhen 300 index to estimate the optimal hedge ratio for the empirical measurement and make the performance evaluation.The emperical results show that the optimal hedge ratio calculated by the quantile regression is greater than 0.99,and the size and the changes of the effect of future returns on the spot returns vary significantly at different quantile points.