資源描述：
《股指期貨與滬深300指數(shù)套期保值策略研究.pdf》由會(huì)員上傳分享，免費(fèi)在線閱讀，更多相關(guān)內(nèi)容在學(xué)術(shù)論文-天天文庫。
1、ThestudyofhedgingratiosbetweenstockindexandstockindexfutureinChinaII摘要滬深300股指期貨是重要的套期保值工具，但國內(nèi)的相關(guān)研究仍未成體系。為彌補(bǔ)研究上的空白，本文總結(jié)了國內(nèi)外研究的重點(diǎn)，對(duì)滬深300股指期貨的內(nèi)容、特點(diǎn)和現(xiàn)狀進(jìn)行了介紹，梳理了期貨套期保值的原理和風(fēng)險(xiǎn)，著重描述了四種套期保值比率的估計(jì)方法。實(shí)證研究中，本文以B-VAR模型為基礎(chǔ)，利用股指期貨正式運(yùn)行以來的989組數(shù)據(jù)估計(jì)出0.9472的最優(yōu)套期保值比率，并根據(jù)該套期保值方案在He指標(biāo)上的表現(xiàn)得出了套期保值有效的結(jié)論，
2、并應(yīng)用MACD擇時(shí)策略改善套期保值方案，從而對(duì)實(shí)際操作產(chǎn)生更好的指導(dǎo)作用。關(guān)鍵詞：股指期貨，套期保值，B-VAR，最優(yōu)對(duì)沖比例，擇時(shí)策略VAbstractBeingvitalforinvestorsinChina,CSI-300futures,unfortunately,havenotbeenthoroughlystudiedbyresearchers.Tocoveruptheblankspots,wesummarizedandrephrasedmainideasofrelevantstudies,introducedthecontent,featu
3、reandcurrenttradingsituationofCSI-300futures,anddescribedtheprincipleandriskoffutureshedging.Specifically,wepresentedfourcommonlyusedapproachesofestimatinghedgeratioandchoseB-VARapproachforourownempiricaltest.Using989setsofdatafromtheoriginatingofCSI-300,wecalculatedanoptimalhe
4、dgeratioof0.9472andconcludeditsefficiencyaccordingtoitsgoodperformancewithHeindicator.Basingontheestimatedhedgeratio,wefurthertestedtheperformanceofhedgingwithtimingstrategyandfoundabetterresultonprofitandrisk.Keywords:CSI-300futures，futurehedging，B-VAR，hedgeratio，timingstrateg
5、yI目錄第1章引言............................................11.1研究背景及意義..............................................11.1.1研究背景.................................................................................................................11.1.2研究意義...................................
6、..............................................................................11.2國內(nèi)外研究綜述..............................................21.2.1國外研究文獻(xiàn).........................................................................................................21.2.2國內(nèi)文獻(xiàn)綜述..............
7、...........................................................................................41.3研究內(nèi)容與方法..............................................6第2章滬深300股指期貨概述............................82.1股指期貨相關(guān)介紹............................................82.2滬深300股指期貨合約................
8、........................82.2.1滬深300股指期貨合約標(biāo)的物..........
