股指期货与ETF基金的套期保值策略研究-金融专业论文.docxVIP

I I 摘 要 本文的目的是考察运用沪深 300 股指期货对 ETF 进行套期保值过程中套期 保值比率计算模型、ETF 品种和期货合约的选择问题及套保收益情况。本文在 系统阐述国内外专家学者已有研究的基础上，对股指期货和 ETF 基金进行介绍， 并以套期保值经典理论为依据，选取沪深 300 股指期货及沪深 300ETF 等多种 ETF 的最新数据，通过 OLS、B-VAR 和 ECM 三种分析模型进行套期保值比率的计 算，利用样本外数据检验各自的套期保值绩效，从而选出最优的 ETF 品种及模 型；之后以案例分析的形式，对运用不同类型股指期货合约得到的套期保值收 益情况进行比较。 研究结果表明，沪深 300ETF 与其他品种 ETF 相比能取得更好的套期保值绩 效；针对同一 ETF，运用三种不同模型得到的套期保值比率和绩效均非常接近； 案例分析中套保大多取得正收益，且收益率稳定在较低区间，说明套期保值能 够实现稳定收益的目标；从整体情况来看，运用存续期较长的季月合约得到的 套保收益优于非季月合约。最终本文向投资者建议的套期保值策略为选择沪深 300ETF，选择期限匹配的季月型合约，有助于达到较为理想的套期保值目标。 关键词：套期保值，沪深 300 股指期货，ETF II II Abstract This paper aims to study how to hedge between CSI 300 index future and ETF. Based on the existing research results of domestic and foreign experts and scholars, this paper used the classical theory as the base to make empirical analysis, then selected the latest transaction data of CSI 300 stock index future and ETFs of different types as the sample and chose three kinds of static analysis models, the OLS, B-VAR and ECM to estimate the optimal hedging ratio. Then the best ETF and model could be chosen based on the effect of hedging. At last, we evaluated the income of hedging and compared the differences between different futures contracts. The research results showed that the hedging performance of three different models turned out to be very close, and the hedging performance of using CSI300 ETF was the best. The hedging income was positive and stable. Besides, the quarterly futures contacts performed better than the normal monthly contracts. The hedging performance of CSI 300 stock index future was satisfactory． Keywords：Hedging, CSI 300 Stock Index Future, ETF PAGE PAGE IV 目录 HYPERLINK \l _bookmark0 第 1 章 引言 1 HYPERLINK \l _bookmark1 1.1 选题背景及意义 1 HYPERLINK \l _bookmark2 1.1.1 选题背景 1 HYPERLINK \l _bookmark3 1.1.2 选题意义 2 HYPERLINK \l _bookmark4 1.2 研究思路与方法 2 HYPERLINK \l _bookmark5 1.3 文章基本结构 3 HYPERLINK \l _bookmark6 1.4 创新之处 4 HYPERLINK \l _bookmark7 第 2 章 文献综述 5 HYPERLINK \l _bookmark8 2.