摘要
本文运用国际最新发展Garch-Copula模型对沪深300指数期货与现货和SP500指数期货与现货的相关结构进行比较研究,分析期货与现货之间的相关结构,比较运用股指期货对冲风险效果的差异。作者得出结论:无论是中国还是美国,基于尖峰厚尾对称分布假设的模型可以获得好的对冲效果。同时,作者认为在进行对冲之前,应该首先准确地刻画期货与现货的相关结构,进而根据其显示的主要相关特性建立对冲模型,才能够有效降低风险,获得较好的对冲效果。
The author uses Garch-Copula model to calculate the correlation of both HuShen300 Index and HuShen300 Index Futures besides SP500 Index and SP500 Index Futures, analyzes the correlation structure of these index and index futures, makes comparison on the hedging effect of different models. In conclusion, the author argues that fat-tail distribution is more suitable for the correlation structure of both kinds. Besides ,the author argues that we should know the correlation structure of the index futures and the index before hedging, only by this can we reduce more systemic risk and gain better hedging effect.
出处
《投资研究》
北大核心
2012年第10期98-115,共18页
Review of Investment Studies
基金
教育部人文社会科学重点研究基地重大项目<我国金融风险管理和监管问题研究>(项目编号:11JJD790009)的阶段性研究成果。课题主持人为中国人民大学陈忠阳教授
