沪深300指数套期保值应用.docx

课 程 论 文论文题目 沪深300指数套期保值的应用 学生姓名 -- 学号 ------- 专业班级 ----------------- 指导教师 ------- 职称 教授 2012年05月15日 摘要本文主要以沪深300指数为研究对象，沪深300指数是资本市场的一种重要金融衍生工具。本文将对股指期货套期保值策略进行比较全面的理论和实证研究。首先，概述了股指期货套期保值交易的流程。其次，本文探讨了期货套期保值理论的发展，在了解期货套期保值功能的基础上，提出了套期保值的关键问题即套期保值比率的确定。其基本思想是将现货市场价格的波动性转化为基差波动性风险，这也是套期保值者进行套期保值操作的理论依据。最后，运用VaR(在险价值)方法分析说明了利用股指期货进行套期保值的有效性。关键词：沪深300股指期货；套期保值比率；套期保值策Abstract Outstanding feature of Chinese stock market is that the fluctuation range of stock price is big，and the systemic risk is high．However the systemic risk is unable to dodge through the dispersive investment．The stock index futures whose object is stock pnce index is one of the financial futures，and it is the best tools to avoid systemic risk．China has developed the simulative transaction of HS300 stock index futures contract at present and it prepares to promote the official transaction in April 16th，2010．It can be expected that in order to adapt to the gradually opened capital market，more and more investorswill avoid the risk and lock in profits through the stock index futures market．Therefore，Firstly，the thesis gives a basic introduction of stock index futures．At the same time，we can know the function and the operating process of the stock index futures．The stock index futures can make a deep expression to us．Secondly，the thesis discusses the development of stock index futures．Key words ：HS300 stock index futures；dynamic adjustment of the hedging contracts；hedging strategy目 录一、导论…………………………………………………………………1（一）研究背景…………………………………………………………1（二）研究目的和意义……………………………………………………1二、指期货套期保值理论研究综述……………………………………2（一）套期保值的经济原理………………………………………………2（二）现代套期保值理论…………………………………………………3（三）MV套期保值理论模型………………………………………………31.传统回归模型OLS………………………………………………………42.双变量变量自回归模型B．VAR…………………………………………4（四）国内研究现状……………………………………………………5三、沪深300股指期货套期保值实例分析……………………………6（一）实证分析…………………………………………………………61.数据来源和样本选取…………………………………………………62.统计计算………………………………………………………………63.回归分析………………………………………………………………7（二）结论及建议…………………………………………………………81.实证分析结论…………………………