基于股指期货的开放式基金套期保值效率研究

Study on Hedging Performance Evaluation of Open-End Fund Based on Stock Index Futures

以沪深300股指期货推出后的实际交易数据为基础,综合运用OLS、MDM、VECM、GARCH模型对包括股票型、混合型、指数型开放式基金的套期保值效果进行实证分析.实证结果表明国内股指期货用于基金套期保值的效果是显著的.从套期保值效率和动态VaR值这两种基金绩效评价指标的研究结果看,指数型基金的套期保值效果明显优于其他类型的基金,短期内运用静态模型的套保效率优于动态模型的套保效率.

The paper uses the CSI 300 stock index futures market after the actual transaction data, makes a comprehensive use of the OLS, the MDM, the VECM, the GARCH model to analysis hedge effect of the equity open-end fund, the hybrid open-end fund and the index open-end funds. The empirical results show that the effects of domestic stock index futures for hedging of the fund are significant. From both Hedging efficiency and dynamic VaR value results, we find that the index fund of hedge is better than other types of funds, short-term use of hedging efficiency of the static model is better than the dynamic model hedging efficiency.