摘要
以我国第一支股指期货作为研究对象,主要研究在持有不同证券组合时,利用沪深300股指期货作为对冲品种的套期保值可行性研究。相对于Pearson相关系数,Copula函数对变量间的变动关系给出更加全面的信息,而且其尾部相关性对于我们的研究更有优势。研究结果显示,当持有投资品种以沪深300成份股为主时,为了抵御日间波动风险时,利用股指期货进行套期保值效果非常理想;持有投资品种以中小板指成分股为主时或者是为了抵御日内短期波动风险时,效果不太理想。
The hedging functional of China＇s first stock index futures will be studied in details by using Copula function.Compared with Pearson＇s correlation coefficient,we can get more detailed and accurate information,especially the information about the tail dependence which is important for financial studies by using Copula function.By analyzing,we find that the HS300 Stock Index Future can be well used as a tool to hedge the risk that caused by the unexpected market fluctuations of inter-day,when we hold an investment portfolio which contains HS300 constituent stocks.But when the investment portfolio contained by SME board or we want to hedge the risk that caused by the unexpected market fluctuations of intra-day,it wasn＇t an efficient means.
基金
教育部新世纪优秀人才支持计划资助(No.NCET-08-0909)
