套期保值理论及其在股指期货中的应用初探

Hedging Theory and Preliminary Study of Its Application in Stock Index Futures

介绍了套期保值理论的发展概况 ,将套期保值理论应用于股指期货标的指数的评价模型中 ,导出了不同套期保值战略情况下的最佳套期保值数量及套期保值效率、套期保值成本的统计指标 ,据此对股指期货标的物进行评价 .这对于我国即将推出股指期货交易 。

This paper introduces the developmentment of hedging theory, puts the theory into the assessment model of marked index of stock index futures and gives the best hedging amount and the statistical indexes of hedging efficiency and hedging costs under different hedging strategies. On this basis, the marked index of stock index futures is assessed. It is of pratical importance for China to develop stock index futures business.