文档介绍：江苏科技大学
硕士学位论文
股指期货套期保值交易策略研究
姓名:陈暑楠
申请学位级别:硕士
专业:会计学
指导教师:马才华
2011-06-12
摘要
摘要
股指期货是为规避证券市场系统性风险而设计的金融衍生品,由于其显著的优越
性,在诞生后迅猛发展,成为金融市场上最受青睐的避险工具,在资本市场上扮演着
举足轻重的角色。股指期货套期保值是对持有的股票现货进行风险对冲或者锁定未来
购入股票现货的成本,实现不同市场参与者间的风险转移。其理论基础是在通常情况
下,股指期货的价格与股票市场现货价格均受到相同因素的影响,两者的变动是一致
的或者高度相关的。因此,研究股指期货套期保值交易策略具有很强的现实意义和应
用价值。
本文在阐述股指期货及其套期保值功能理论的基础上,对股指期货套期保值的总
体策略进行选择,在此基础上介绍了最小方差、OLS、二元 GARCH 三种最优套期保
值比率的计算方法,并对各自的优缺点进行简要评述。再次,针对目前机构投资者的
行为现状以及股指期货推出后对各类机构投资者的应用价值展开分析,其中共性的应
用价值是规避中国股市的系统性风险,但是具体应用价值又有差别。然后,利用沪深
300 指数对机构投资者的套期保值效果进行分析,结果表明 QFII 股指期货套期保值效
果最理想,社保基金次之,证券投资基金股指期货套期保值效果最不理想,并对其原
因简要分析。最后,针对实证分析的结果,提出若干有利于提高股指期货套期保值效
果的政策建议。
与以往研究股指期货套期保值交易策略文献不同的是,本文从不同类型机构投资
者的目标定位和资金来源角度出发,并结合他们目前的投资行为现状,分析股指期货
套期保值功能对改善其非理性投资行为、树立价值投资的主流投资观念的应用价值,
同时结合实证对各自的套期保值效果进行分析。

关键词股指期货;套期保值;交易策略
I
Abstract
Abstract
Stock index futures is a financial derivatives designed for avoiding the systemic risk in
the stock market. Because of its significant advantages and rapid development, Stock index
futures es the most popular hedging instrument, and plays an important role in the
capital market. Stock index futures hedging is used for risk hedging of stocks held in the
hand or locking the cost of buying stocks in future, so as to achieve the transfer of risk
among different kinds of market participants. The theory basis is the price of stock index
futures and stock market are determined by the same factors, and the change between them
is consistent or highly relevant. Therefore, it has a strong practical significance and value of
the research on the strategy of stock index futures hedging.
First of all, this thesis explores emphatically the selection the strategy of hedging on
the basis of the theory of stock index futures and the function of hedging strategy. Then this
thesis introduces three kinds of optimal hedging ratio and analyses the advantages and
disadvantages among them. Secondly, this thesis