股指期货套期保值的实证研究
n Empirical Study on Stock Index Futures Hedging
本文利用普通最小二乘法(OLS) 、双变量向量自回归(B-VAR) 、误差修正( ECM)和广义自回归条件异方差(GARCH),对股指期货最优套期保值率进行实证研究,得出适度套期保值率为92%的结论。为了增加国内企业的国际市场竞争力,我国应加快金融创新步伐,培养复合型高级金融人才,建立国企有效监管体系,完善国内期货市场建设。
his paper estimated the hedge ratios of stock index futures at four kinds of models: ordinary least square(OLS) , bivariate - vector autoregression (B - VAR) , error correction model ( ECM) and generalized auto-regressive conditional heteroscedasticity (GARCH) model. The findings indicate that the optimal hedge ratio of stock index futures is about 92%. In order to increase competitiveness of domestic enterprises in the international market, China should accelerate the pace of financial innovation, cultivate senior financial personnel, establish effective monitoring system for state-owned enterprises, improve the domestic futures market construction.
张蔷、钟凌飞
财政、金融
套期保值股指期货协整检验
HedgingStock Index FuturesCo-integration Test
张蔷,钟凌飞.股指期货套期保值的实证研究[EB/OL].(2010-09-06)[2025-08-19].http://www.paper.edu.cn/releasepaper/content/201009-111.点此复制
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