中小投资者股指期货套期保值策略与效果分析——以沪深300股指期货为例

Strategy and Effect of Minority Investors Stock Index Futures Hedging——Based on CSI 300 Stock Index Futures

股指期货套期保值主要规避系统风险,中小投资者在运用股指期货进行套期保值时构建的投资组合必须与股指期货有较好的相关性,并且要进行必要的分散化投资,规避一定的非系统风险。本文借用沪深300股指期货对中小投资者的投资行为进行套期保值,结果表明,按一定策略构建的三支股票的投资组合只能规避三成多的风险,而五支股票的投资组合能规避60%以上的风险。最后,笔者给出中小投资者运用股指期货进行套期保值的建议。

Stock index futures hedging mainly avoiding systemic risk.Minority investors build a portfolio which must be well related with stock index futures at first,and make necessary diversification to evade non-system risk.The paper uses CSI 300 index futures hedging for minority investors' investment behavior,the results show that according to certain strategy to build three stock portfolio can hedge the risks of more than thirty percent,and five stocks portfolio can hedge the risks of more than 60%.Finally,we also give hedging suggestions for Minority investors.