股指期货最优套期保值比率研究

Research on the Optimal Hedge Ratio of Stock Index Futures

股指期货是以某一种股票指数为标的、以现金结算的期货合约。股指期货有套期保值、价格发现和套利投机的功能,其中,套期保值是其最主要的特点。采用4个模型———OLS、OLS基础上的GARCH、ECM、BEKK-GARCH,比较了利用股指期货进行对冲的静态/动态套保模型的套期保值效率。结果表明,尽管在理论上传统的OLS模型存在着诸多缺陷,但其他模型的套期保值效率并未显著好于OLS,且这个结论在样本内外具有一致性。

A stock market index future is a cash-settled future contract on the value of a particular stock market index, which can be used for hedging,trading and investing. This paper aimed at investigating the hedging effectiveness of constant as well as time-varying hedging ratios in the stock index future market based on four different models including OLS,ECM,GARCH and BEKK-GARCH. Results indicated that although OLS model is theoretically deficit and ECM, GARCH and BEKK-GARCH are superior to the simple OLS in several ways, they fail to outperform the OLS model both in and out of sample when taking the trading cost and model simplicity into consideration.