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系统性风险与非系统性风险伴随着证券市场的发展长期存在,其中的非系统性风险投资者可以通过多样性的组合投资得到分散,但是对系统性风险的降低却只能通过期货等金融衍生工具。为了更好地防范系统性风险对证券市场造成的影响,2010年4月16日,我国诞生了第一只股指期货——沪深300股指期货,这一金融工具的出现开启了我国证券的双边市场。本文利用2016年01月04日到2016年12月30日中沪深300和沪深300股指期货的收盘价,计算得到现货和期货两个市场的收益率,并且借助OLS模型、B-VAR模型、TGARCH模型,根据这三种模型的分析结果,2016年沪深300股指期货的套期保值比率高于80%,其套期保值的绩效也大于83%,并且依据TGARCH模型分析的绩效是最高的,为88.54%。因而,本文认为沪深300股指期货是种较为有效的金融衍生工具,可以协助投资者更好地进行风险管理。
Systematic risk and non-systematic risk accompany the development of the securities market for a long time. The non-systematic venture capital investors can be diversified through diversified portfolio investment. However, the reduction of systemic risk can only be realized through financial derivatives such as futures tool. In order to better guard against systemic risk on the stock market impact, April 16, 2010, China was the birth of the first stock index futures - Shanghai and Shenzhen 300 stock index futures, the emergence of this financial instrument opened the bilateral securities of our country market. In this paper, the returns of both the spot and the futures markets are calculated from the closing prices of the futures of the CSI300 and CSI300 futures from January 04, 2016 to December 30, 2016. With the help of OLS model, B-VAR model , TGARCH model. According to the analysis results of these three models, the hedging ratio of Shanghai and Shenzhen 300 index futures is higher than 80% in 2016, and their hedging performance is more than 83%, and the performance based on the TGARCH model is the highest At 88.54%. Therefore, this article believes that the Shanghai and Shenzhen 300 stock index futures is a more effective financial derivatives, can help investors better risk management.