摘要
本文从基差风险产生原因入手,研究利用股指期货实现基差风险最小的套期保值策略,通过对我国股票市场进行实证研究和效果检验,发现此方法可较好地规避现货市场价格风险,降低投资组合的系统性风险,取得较好的套期保值效果。
From the causes of basis risk,this paper studies the hedging strategy of using stock index futures to achieve basis risk minimization.Through the empirical study and effect testing of Chinese stock market,it concludes that this method can better avoid the price risk on the spot market,lower the investment portfolio＇s systemic risk,and achieve better hedging results.
基金
国家自然科学基金资助项目(70573076)
天津哲学社会科学研究项目(TJGL07-025)
关键词
股指期货
套期保值
基差风险
套保比率
Stock index futures
Risk hedging
Basis risk
Hedging ratio
