摘要
通过构建DCC-MVGARCH模型,检验了2015年4月至2018年3月我国股指期现货指数之间的相关性及其套期保值绩效。结果表明:首先,上证50期现货和沪深300期现货指数是我国证券市场更具影响力的指数,期货和标的现货指数之间没有表现出清晰的相互引领关系;其次,股指期现货之间的动态系数在大多数时期表现为正相关,其中上证50期现货指数的相关程度最高,中证500期现货指数的相关程度最低;再次,无论在何种样本时期,DCC组合均能够产生有效的套期保值效果;最后给出了分析结果的经济和政策含义。
By constructing DCC-MVGARCH models,this paper tests dynamic correlations and Portfolio hedging effectiveness between stock indexes and stock index futures from April 2015 to March 2018 in China.Our findings are as follows.Firstly,the Shangzheng50 stock Index and Hushen300 stock index as well as their futures are more influential indexes in Chinese stock market,and evidence can not support the opinion that the futures and the underlying spot indexes influence each other.Secondly,positive correlations are revealed by coefficients between stock indexes and stock index futures in most of the time,of which,the coefficient between Shangzheng50 stock index and its futures exhibits the highest degree of correlation,and the correlation coefficient between Zhongzheng500 stock index and its futures has the lowest value.Thirdly,no matter in what kind of sample period and in what kind of stock index,a very effective hedge performance will be produced by DCC hedging portfolio.Finally,economic and policy implications of findings are all provided.
作者
袁晨
傅强
YUAN Chen1,FU Qiang2(1. College of Economics and Management, Chongqing Jiaotong University, Chongqing 400074, China 2. College of Economy and Business Administration, Chongqing University,Chongqing 400030,Chin)
出处
《系统工程》
CSSCI
北大核心
2017年第10期13-22,共10页
Systems Engineering
基金
国家社会科学基金资助项目(14BRK021)
