沪深300股指期货套期保值效果实证研究

Empirical Study on CSI 300 Stock Index Futures Hedging Effects

2015年6月的股灾以来,股指期货的套期保值功能再次成为理论界和实务界关注的重点。本文采用2014年11月至2015年10月这一剧烈波动时段的数据,通过CCC-BGARCH模型和DCC-BGARCH模型对沪深300股指期货的动态策略保值效果进行了评估,同时也和传统的OLS和VECM静态保值效果进行了对比。实证结果表明,DCC-BGARCH模型和CCC-BGARCH模型都能较好地刻画数据;现货市场中的波动只能由负向滞后的冲击所解释,即现货市场中的波动率仅对坏消息有反应,股指期货的冲击只能影响条件波动率;非对称的负向冲击存在于期货市场中,并且滞后的负向冲击对市场造成的波动更大。在套期保值效果上,动态的DCC-BGARCH模型优于CCC-BGARCH模型;静态的VECM模型比OLS给出的套期保值效果更好一些;总体来说,动态和静态套期保值模型各有优劣。

The stock market crash in June 2015 has once again brought researchers'attention to the hedging effects of stock index futures.Based on the most volatile data from November 2014 to October 2015,this article attempts to evaluate both static and dynamic hedging effects of CSI 300 index futures using CCC-BGARCH and DCC-BGARCH models and comparing the results with traditional OLS and VECM methods.The empirical result shows that both DCC-BGARCH and CCC-BGARCH models have done a good job in describing data.Fluctuations in the spot market are only explained by the lagged negative shocks from index futures market.In other words,only the bad news is reflected in the spot market variance volatility and the impact from stock index futures is conditional.There exists a negative asymmetric effects in the futures stock market and may produce greater volatility in the spot market.DCC model is better than CCC model in terms of hedging effects while the hedging effects of VECM model is slightly better than that of OLS model.As a whole,it is difficult to decide which is better between static and dynamic methods as both models have their own prosandcons.