股指期货、最优套期保值比率与金融资产管理——基于沪深300ETF套期保值的实证

Stock Index futures,Optimal Hedge Ratios and Financial Asset Management——Based on CSI 300 ETF Empirical Analysis

本文以2012年5月28日至2014年6月4日的沪深股指期货和华泰柏瑞300ETF交易数据为样本,对不同套期保值模型进行实证分析,得出的最优套保比率和套保绩效评价值是:在静态模型中,OLS模型较好;动态模型中,GARCH(1,1)模型最好。综合静态和动态模型,华泰柏瑞沪深300ETF与沪深股指期货的最佳套期保值模型是GARCH(1,1)。

Based on transaction data from May 28,2012 to June 4,2014,using CSI 300 and Huatai-Pine Bridge CSI 300 ETF,performing empirical analysis on different hedging models to find out the optimal hedge ratio.The conclusion is that the best evaluation value of hedging performance is OLS estimation instatic model,otherwise GARCH(1,1) estimation in dynamic model.Integrated static and dynamic model,the GARCH(1,1) estimation is the optimal hedging model for both CSI 300 and Huatai-PineBridge CSI 300 ETF.