股指期货套期保值效率比较研究——基于沪深300股指期货与新华富时A5指数期货

The Comparative Study of Stock Index Future Hedging Efficiency——Based on CSI 300 Stock Index Futures and FTES Xinhua A50 Index Futures

文章基于我国股票型基金十大重仓股构建投资组合,并利用沪深300股指期货与新华富时A50指数期货的日数据对这两种股指期货的套期保值效率进行比较研究,以探究两者在套期保值效率上的差异和造成差异产生的原因。在利用OLS、VECM和ECM-BGRACH等静态和动态套期保值模型和基于风险最小化的套期保值绩效指标对沪深300股指期货与新华富时A50指数期货的套期保值效率进行研究后发现,在静态最优套保比、时变最优套保比和套期保值绩效指标的比较中,新华富时A50指数期货都要优于沪深300股指期货。这种套期保值效率上的差异主要来自于两个金融工具间的合约与交易规则的差别。建议通过设立适当时间的晚间电子盘交易,并允许金融机构在规定的份额内进行期指套利交易,以提升沪深300股指期货在套期保值市场功能上的效率。

Through constructing portfolio with the ten great overweight held stocks by funds, the paper makes comparative research for the CSI 300 stock index futures and the FTES Xinhua A50 index futures by using daily data of them to find the hedging efficiency difference between them and the reasons that cause the difference. Based on OLS, VECM and ECM-GRACH static and dynamic hedging model and the minimum risk hedging performance indicators, the author finds that the FTES Xinhua A50 index futures are better than the CSI 300 index futures in the static optimal hedge ratio, time-varying optimal hedge ratio and hedging performance indicators. According to the results, it can be found that the difference results from the different contract and trading rules between the two financial instruments The author suggests that building up the evening electronic trading market in appropriate time and allow financial institutions to arbitrage by using stipulated quota for enhancing hedging efficiency of market function of CSI 300 stock index futures.