金融學(xué)畢業(yè)論文外文文獻(xiàn)翻譯--股指期貨最佳套期保值策略實證分析

中文 3040字 外文文獻(xiàn)翻譯 專業(yè)：金融學(xué) 姓名： 學(xué)號： 指導(dǎo)老師： 股指期貨最佳套期保值策略實證分析 股票指數(shù)期貨，是一種以股票價格指數(shù)作為標(biāo)的物的金融期貨合約，是一種金融衍生工具，通過做空股指期貨，可以達(dá)到規(guī)避風(fēng)險和鎖定收益的目的。 現(xiàn)狀： 自 2006 年中國股市一路飄升，充分活躍了股票市場，掀起股市投資的熱潮，與此同時，也加重了市場上的投機因素和市場的動蕩。此時，推出股票指數(shù)期貨的現(xiàn)實意義自然極為重要。 中國證券業(yè)監(jiān)管部門于 2010年 4月 16日批準(zhǔn)位于上海的中國金 融期貨交易所推出股指期貨交易，這是中國走向市場經(jīng)濟的一個具有歷史性意義的里程碑。 4 月 16 日我國首批四個滬深 300 指數(shù)期貨合約在中國金融期貨交易所正式掛牌交易，這標(biāo)志著我國正式推出了股指期貨。推出股指期貨后，風(fēng)險低、收益率穩(wěn)定的股指期貨套利將會成為投資者追逐的熱點 .滬深 300 指數(shù)期貨采用標(biāo)準(zhǔn)化的合約，合約的主要內(nèi)容和規(guī)定，見表 1-1: 表 1-1 滬深 300指數(shù)期貨產(chǎn)品合約表 項目 內(nèi)容 合約標(biāo)的 滬深 300指數(shù) 和約乘數(shù) 每點 300元 報價單位 指數(shù)點 最小變動價位 0.2 點 交易月份 當(dāng)月，下月 及隨后兩個季月 交易時間 9:15-11:30（第一節(jié)） 13:00-15:15（第二節(jié)） 最后交易日交易時間 9:15-11:30（第一節(jié)） 13:00-15:15（第二節(jié)） 每日價格最大波動限制 上一個交易日結(jié)算價的正負(fù) 10% 交割方式 現(xiàn)金交割 最后交易日 合約到期月份的第三個周五，遇法定節(jié)假日或不可抗力順延 交割日期 同最后交易日 交割額代碼 IF 截至 12月 22日，共 167個交易日，滬深 300股指期貨累計成交 4432萬手。累計成交金額 39.6 萬億元。日均成交量近 26.5 萬手日均成交 金額 2371 億元，歷史最高成交量為 7月 15日 474780手，總體來看，市場交投比較活躍，流動性較好，報價連續(xù)，成交迅速。（申銀萬國期貨股指期貨年度報告）如下表所示： 圖 1-1股指期貨成交量與持倉量 來源：申銀萬國證券股指期貨年度分析 由表可知，交易量如此之大，顯然，股指期貨已經(jīng)成為中國投資者的寵兒。它在套期保值中所起到的效果，是無可比擬的。 股指期貨套期保值的原理： 股指期貨之所以具有套期保值的功能，是因為在一般情況下，股指期貨的價格與股票現(xiàn)貨的價格受相近因素的影響，它們的變動方向是一致的，因此，投資者只要 在股指期貨市場上建立與股票現(xiàn)貨市場相反的持倉，通過計算適當(dāng)?shù)奶灼?保值比率可以達(dá)到虧損與獲利的大致平衡，從而實現(xiàn)套期保值的目的。其基本原理有以下兩個方面。 原理一 :同一股票指數(shù)的期貨價格走勢與現(xiàn)貨價格走勢基本一致。 原理二 :股指期貨的交割采用標(biāo)的股票指數(shù)價格進行現(xiàn)金交割，那么到期日股指期貨價格與標(biāo)的股票指數(shù)就會完全相同。 基于以上的原理，投資者通過在股票市場和股指期貨市場分別進行相反的操作，以期在未來的時間內(nèi)通過一個市場的虧損，彌補另一個市場的盈利，達(dá)到鎖定價格，避免風(fēng)險的目的。 套期保值的種類： 套期保值的 策略主要有多頭套期保值、空頭套期保值和交叉保值。 多頭套期保值是指在投資者預(yù)期股票市場將要上漲，但買入股票的資金暫時還沒有到位，因此投資者也可以通過股指期貨的保證金的杠桿作用，利用較少的資金先在期貨市場上建立多頭頭寸來套期保值，鎖定買入成本。避免在資金沒有到位這段時間，股票價格變動帶來的風(fēng)險。 空頭套期保值是指投資者預(yù)測目前股市的估值水平偏高，可能有下跌的風(fēng)險，投資者持有的投資組合也會隨著股指下跌。同時投資對股票長線有信心，不愿意將股票拋出。投資者通過在期貨市場配置與現(xiàn)貨市場多頭相反的空頭頭寸，以期通過期貨 市場的空頭收益來彌補現(xiàn)貨市場的多頭虧損。 交叉套期保值是指當(dāng)進行保值的現(xiàn)貨資產(chǎn)與期貨合約標(biāo)的資產(chǎn)不完全相同時，就引入了交叉保值的概念。在交叉保值中，由于選擇的期貨和現(xiàn)貨價格走勢并不完全一致，所以會產(chǎn)生交叉保值風(fēng)險。交叉保值風(fēng)險不會隨著交割期的臨近而趨向于零。從某種意義上說，交叉保值風(fēng)險是股票組合的非系統(tǒng)性風(fēng)險。這時需要引入投資組合值，將投資組合的收益率和股指的收益率關(guān)聯(lián)起來 股指期貨套期保值的功能： 股指期貨通常具有價格發(fā)現(xiàn)、規(guī)避風(fēng)險及投資三大功能，而規(guī)避風(fēng)險是期貨交易的最主要功能。股指期貨的作用中最重要 的是規(guī)避風(fēng)險，也就是風(fēng)險的對沖，即套期保值，具體指通過利用股指期貨和指數(shù)現(xiàn)貨的反向操作，使得股指期貨的收益（損失）與指數(shù)現(xiàn)貨的損失（收益）相互對沖，從而規(guī)避市場的系統(tǒng)波動風(fēng)險，實現(xiàn)資產(chǎn)的套期保值。 我們以股指期貨空頭套期保值為例： 2010年 3月 1 日，滬深 300指數(shù)現(xiàn)貨報價為 3324點，在仿真交易市場， 2010年 9月到期（ 9月 17日到期）的滬深 300股指期貨合約報價為 3400 點，某投資者持有價值為 1 億元人民幣的市場組合，為防范在 9 月 18 日之前出現(xiàn)系統(tǒng)性風(fēng)險，可賣出 9月份滬深 300指數(shù)期貨進行保值。 如果該投 資者做空 100張 9月到期合約 10000000/（ 3324 300） 100，則到 9月 17日收盤時： 現(xiàn)貨頭寸價值 =1億元 9月 17日現(xiàn)貨收盤價 /3月 1日現(xiàn)貨報價 期貨頭寸盈虧 =300 元（ 9 月 17 日期貨結(jié)算價 3 月 1 日期貨報價）做空合約張數(shù)，在不同的指數(shù)點位下，頭寸變化如下表所示： 表 1-2 滬深 300 股指期貨套期保值 9月 17日滬深 300指數(shù) 現(xiàn)貨頭寸價值（元） 期貨頭寸價值（元） 合計（元） 2900 87244284 12720000 99964284 3000 90252707.58 9720000 99972707.58 3100 93261131.17 6720000 99981131.17 3200 96269。 554.75 3720000 99989554.75 3300 99277978.34 720000 99997978.34 3400 102286401.9 -2280000 100006401.9 3500 105294825.5 -5280000 100014825.5 3600 108303249.1 -8280000 100023249.1 3700 111311672.7 -11280000 100031672.7 由表可知，經(jīng)過空頭套期保值后，不論 2010年 9月滬深 300指數(shù)如何變化， 該投資者的賬戶總值基本維持不變。 如果有投資者擁有較多資金欲投資于股票現(xiàn)貨，又擔(dān)心建倉期內(nèi)大盤出現(xiàn)非預(yù)期大幅度上漲導(dǎo)致成本過高，也可以采用多頭套期保值，即在期貨上建立相應(yīng)多頭頭寸，利用期貨盈余抵消現(xiàn)貨成本上升的風(fēng)險。在現(xiàn)實中，投資者還可以利用投資組合的系數(shù)對股指期貨的頭寸進行研究。 套期保值比率的引入： 在套期保值交易中，套期保值者對套期保值比率 (hedge ratio)的選擇，關(guān)系著整個套期保值的效果，關(guān)于股指期貨套期保值的文獻(xiàn)中，學(xué)者關(guān)注最多的問題就是如何估計套期保值比率。其中大多數(shù)都以最小方差理論為基礎(chǔ)，運用最小二乘估計方法來估計最優(yōu)套期保值比率。 要取得理想的套期保值效果，關(guān)鍵在于套期保值率的計算。套期保值率的計算也一直是金融工程研究的重點，國內(nèi)外都對此有所研究。從傳統(tǒng)的套期保值理論到現(xiàn)代套期保值理論取得了很大的發(fā)展，其中 OLS模型是一種簡單而有效的計算方法，把套期保值看作投資者選擇現(xiàn)貨和期貨的投資組合來降低組合的風(fēng)險。假定投資者是絕對的風(fēng)險厭惡者，其保 值的目的是將風(fēng)險最小化，由此得到最小方差下的套期保值比率。 通過使用現(xiàn)貨價格和期貨價格的歷史數(shù)據(jù)，作簡單的回歸分析即可求得 結(jié)論： 股指期貨之所以具有套期保值的功能，是因為在一般情況下，股指期貨的價格與股票現(xiàn)貨的價格受相近因素的影響，從而它們的變動方向是一致的。因此，投資者只要在股指期貨市場建立與股票現(xiàn)貨市場相反的持倉，則在市場價格發(fā)生變化時，他必然會在一個市場上獲利而在另一個市場上虧損。通過計算適當(dāng)?shù)奶灼诒Ｖ当嚷士梢赃_(dá)到虧損與獲利的大致平衡，從而實現(xiàn)保值的目的。 而通過計算系數(shù)可以對套期保值的頭寸進行修正 。同時，通過 OLS 模型計 算最優(yōu)套期保值比率 h來測算出最優(yōu)套期保值規(guī)模，這樣使投資者取得利潤最大化。 引入期貨合約的 p值的保值效果，要比沒有期貨合約的 p值的保值效果更好，引入期貨合約的 p 值有對最佳套期比率進行修正，在實證中取得了良好的效果，投資組合的套期保值效果大大的提高了。 股指期貨推出后，投資者對指數(shù)走勢有不同預(yù)期、對風(fēng)險有不同的認(rèn)知和承受力、對成份股現(xiàn)金分紅有不同估測，并且 T+0的交易機制下短時間內(nèi)獲利機會反復(fù)出現(xiàn)也會影響投機心理，這些因素反映到期貨交易中就會導(dǎo)致期貨的實際價格與其理論價格出現(xiàn)偏離，形成 套利機會。 滬深 300 指數(shù)期貨在仿真交易期間存在著大量的套利機會，收益率也很豐厚。本文認(rèn)為在我國推出股指期貨的初期，會涌現(xiàn)大量的套利機會，隨著股指期貨市場的不斷成熟，套利機會會逐漸的減少。 The Empirical Analysis of the best Hedging Strategy of Stock Index Future Stocks index Futures， a stock Price index as a subject of Financial futures contracts ,is a kind of derivative financial instruments(Financial Derivative Instrument)， by Putting stock index futures on a fall to reach the goal of avoiding risk and locking yield. General situation: Since 2006, Chinas stock market has kept soaring, which fully activated the stock market, set off upsurge of investment in the stock market, while it also increased speculation factors and turbulence on the market .At this time, the introduction of stock index futures certainly has an important realistic significance. Chinas securities regulator on April, 16th approved Shanghai-based China Financial Futures Exchange (CFFEX) to undertake stock index futures trade .It means China passed an historic milestone on the path to a market-driven economy. In China ,the first four HS300 Stock index futures contract was listing in the Financial Future Exchange on April 16， and it marked that China launched the stock index future officially. After the introduction of stock index， arbitrage with low risk and stable return will be pursued by investors .HS300 stock index futures take standardized contract,the main content and principles are as follows: Table1-1 The Contract Table of HS300 Stock Index Future Subject Content The subject of contract HS300 stock index future Contract multiplier 300yuan/dian Contract size Index Minimum price fluctuation 0.2 Contract month The present and next month,and the later season Contract time 9:15-11:30（ part one） 13:00-15:15（ part two） Last trading day and trading time 9:15-11:30（ part one） 13:00-15:15（ part two） Daily price fluctuation The last trading days closing price 10% Delivery day Cash delivery Last trading day The third Friday of due contracts month，meeting legal festivals or force majeure prolongs Delivery day The same to the last trading day Delivery volume decode IF By December 22th,there are 167 trading days,HS300 stock index futures has 44.32million contracts ,the total capital reached 39600 billion yuan.There is 0.265 million contracts everyday and the capital reached 237.1 billion yuan.In history,the biggest volume is 474780 in July 15th ,we can see that the market is very active and have a fine flow. (offered by shenyin wanguo future year report),the graph is as follows: Stock Index Futures exchange quantity and open interest exchange quantity Open Interest We can see that the volume is so big that stock index futures has been the focus of the investors from China.And the effect in hedging is huge. The Theory of Hedging: The reason why the stock index futures can have the function of hedging is that,at the normal circumstance,there are the same factors works in the price of the stock index futures and the price of spot market.They have the same trend in the direction of change,so,if only investors build a contract in the stock index futures in the future market which has a opposite direction in the spot market.We can get a balance of loss and gain through calculating a suitable hedging ratio,then we can make our purpose come true.Its theory has two mayor parts as follows: Part 1:There is a same direction in the price of futures and the price of spot market of one stock index. Part 2:If the trade of the stock index futures use the cash as the subject of the stock index futures,the price of the stock index futures will be completely the same as the stock index . Take these two principles into consideration, investors can use an opposite operation in the stock market and the stock future,in order to use the gain in the one market to make up the loss in the other market.At last we can reach the goal of avoiding risk and locking yield. The Styles of Hedging: There are three types of hedging,they are selling heding,buying hedging,and cross hedging. Buying Hedging:Investors insure that the price of stock will be stronger but they dont have enough money,at this time,they can use the ensurance of stock index futures to build buying hedging to reach the goal of avoiding risk and locking yield. Selling Hedging:investors insure that the present price of stock is overvalued and theywill come back to normal level,so, the investors invests will be lower,but at the same time,they are confident of the long development,they wont sell out the stock.Then,they can use selling hedging to reach the goal of avoiding risk and locking yield. Cross Hedging:When the subject of contracts of present is different from futures .It is necessary to push the concept of cross hedging.In cross hedging,the trend of present and the future are different,the risk of cross will be comeout.It is necessary to push .To make the hedging more perfect. The Functions of the Stock Index Future: There are three main functions of stock index futures,they can decide the price, reach the goal of avoiding risk and locking yield.The most important function of stock index future is avoiding risk,that is to say the hedge of risk-hedging.To be detailedly,we can use present loss or gain to hedge the gain or loss in the future market,and then make the hedging of asset come true. We take the selling hedging of stock index future as follows: March 1st,2010,HS300 spot market opening price is 3324,September 17th 2010,HS300 the closing price stock index future is 3400,an investor has 100000000yuan,in order to invoid the system risk before September,18th 2010,they can sell out HS300 stock index future to make hedging come true. If the investor sell out 100 future contract in the month of 9 ,than 10000000/（ 3324300） 100,then we can get a closing price of September 17th: Table 1-2 Hedging of HS300 stock index future The Index of HS300 Sept 17th spot market position value（ yuan） Future position value（ yuan） Account（ yuan） 2900 87244284 12720000 99964284 3000 90252707.58 9720000 99972707.58 3100 93261131.17 6720000 99981131.17 3200 96269。 554.75 3720000 99989554.75 3300 99277978.34 720000 99997978.34 3400 102286401.9 -2280000 100006401.9 3500 105294825.5 -5280000 100014825.5 3600 108303249.1 -8280000 100023249.1 3700 111311672.7 -11280000 100031672.7 We can see from the table ,after selling hedging ,no matter how the index of HS300 change ,the investors total asset will be not change. If investor have much capital and want to put them into stock market ,but he worrys that system risk will come ,at this time, he can use buying hedging .In reality ,investor can use to study the volume of stock index future. The Introduction of Hedge Ratio: At the trades of hedging ,the hedge ratio make a significantly important role in the whole effect of hedging .Considering the articles of hedging ,studies always focus on how to make out hedge ratio . Amonge them ,most of them are based on OLS ,and then make out the best hedge ratio to hedging. To gain the perfect effect of hedging ,it is a key to figure out hedge ratio .Estimation of edge ratio is always important to finance engineerings research ,and home and abroad do a lot to it. From traditionary hedge theory to modern hedge theory , we make prodigious progress ,and OLS model is a easy and effective model by looking hedge as combination of goods and futures to reduce its risk; and yet hedge ratio under it .By using historical data of goods and futures price ,it is easy to get the result through regression analysis. Conclusion: The reason why the stock index futures can have the function of hedging is that ,at the normal circumstance ,there are the same factors works in the price of the stock index futures and the price of spot market ,hence, they have the same They