沪深300股指期货对ETF套期保值效果分析

Analysis of ETF Hedging Effect on Shanghai and Shenzhen 300 Stock Index Futures

由于全球基金市场的新趋势,ETF在国内市场还处于不断探索中,为了提升国内基金行业风险控制能力,本文构建了风险管理意义受到认可的沪深300股指期货对ETF的投资组合.基于风险最小化目标,在有效性样本范围内检验得出之间的对数序列为残差序列且存在协整效应,二者最优套期保值比率及套期保值绩效由最小二乘法(OLS)回归模型、误差修正模型(ECM)及广义ARCH模型(GARCH)求出,分析发现,最小二乘法(OLS)回归模型的套期保值比率能最大的降低投资策略风险.

Due to the new trend of global fund market ETF is still in the domestic market is still in the exploration,in order to enhance the domestic fund industry risk control ability,this paper constructs the risk management significance of the Shanghai and Shenzhen 300 stock index futures ETF investment portfolio based on risk minimization Under the target,the logarithmic sequence between the validity samples is the residual sequence and there is a co integration effect.The optimal hedging ratio and hedging performance are the least squares(OLS) regression model(ECM) and generalized ARCH model(GARCH) model.The analysis shows that the hedging ratio of the least squares(OLS) regression model can minimize the risk of investment strategy.