股指期货套期保值策略的模型改进研究-技术经济及管理专业论文.docxVIP

摘 要 金融是现代经济的核心 ，以期货为代表的金融衍生品市场是资本市 场的核心 。中国的商品期货市场是目前相对最成熟的衍生品市场 ，但是， 国内市场主体仍普遍存在风险意识淡 薄或者苦于没有相应的有效管理 风险工具 。因此研究重点和意义就在于 ，改进最小二乘法回归模型 ，以 使其能估算出更好的期货套期保值策略，得到有参考意义的研究结论。 要取得理想的套期保值效果 ，关键在于套期保值比率的计算 。在系 统梳理了期货最优套期保值比率研究的进展后 ，重点介绍了最小二乘回 归模型 ，并采用其计算出股指期货的套期保值比率 ；其后 ，通过对序列 自相关及异方差检验 ，分析出该模型在此应用中的缺陷 ；由此 ，对模型 进行改进 ，最后 ，将改进模型的套期保值有效性与原最小二乘法相比较。 通过实证结果分析，改进模型首先在理论 具有很大的优越性，因 此具有一定的理论价值 。虽然改进模型存在相对较高的操作成本 ，但由 于基金大多都是规模较大 ，因此其操作成本可以通过更好地获取套期保 值收益来抵消，其操作意义还是存在的。 关键词：股指期货；套期保值；最小二乘法回归模型；模型改进 Abstract Finance is the core of modern economy, while the financial derivatives market especially the futures is the center of the capital market. The commodity future market is the most developed derivative market in China up to now. But the principal parts’ consciousnesses of risk aren’t very strong or feel hard to find the proper tool to control the risk in the market. In this paper, consider to improve ordinary least squares model to find better hedge strategy ， and find out some valuable demonstrating conclusion. To gain the perfect effect of hedging, it is a key to figure out hedge ratio. After studying the developing course of future hedging strategy, focus on the ordinary least-squares regression model, and calculate stock index futures hedging ratio by it; then, through the auto-correlation and heteroscedasticity testing, analyze the OLS model defect in this application; thus, improve the model; finally, the improved model hedging effectiveness will compare with the least-squares model. Through the empirical result analysis, firstly, the improved model has great advantages in the theory. Although the improved model is of the existence of relatively higher operating costs, but larger funds, the cost of their operations can offset through better access to hedging income, so the significance of the operation is still done. Key Words: stock index future; hedge ;OLS model; improved model 目 录 1 绪论 1 1.1 选题背景 1 1.2 国内外文献综述 1 1.3 问题的提出 6 1.4 研究内容及意义 7 2 相