[1]丁于兰.沪深300ETF套期保值效果的比较研究[J].金融教育研究,2014,(05):32-38.
　DING Yulan.The Comparative Study of CSI 300 ETF Hedging Effects[J].,2014,(05):32-38.
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沪深300ETF套期保值效果的比较研究()
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《金融教育研究》[ISSN:1006-6977/CN:61-1281/TN]

卷:
期数:
2014年05期
页码:
32-38
栏目:
出版日期:
2014-10-31

文章信息/Info

Title:
The Comparative Study of CSI 300 ETF Hedging Effects
作者:
丁于兰;
福建省电信公司,福建 福州,250000
Author(s):
DING Yulan
关键词:
沪深300ETF; 套期保值; 差异性
Keywords:
CSI 300 ETF;  hedging;  difference
分类号:
F830.9
文献标志码:
A
摘要:
文章采用OLS、ECM、CCC-BGARCH以及DCC-BGARCH模型分别计算了两支300ETF的最优套期保值比率,并分别比较了两支300ETF的套期保值效果,结果发现:动态多元GARCH类模型的效果明显好于OLS和ECM模型;无论采用哪种模型,华泰柏瑞沪深300ETF的套期保值效果都要好于嘉实沪深300ETF;由于华泰柏瑞沪深300ETF的高流动性和相对完善的套利机制,使得其适合较大方差变化的DCC-BGARCH模型;而嘉实沪深300ETF采用CCC-BGARCH模型的套期保值效果更好,这可能是因为嘉实沪深300ETF和沪深300股指期货间的关联性波动较小,相关系数更接近于常数的缘故。
Abstract:
This article uses models of OLS、ECM、CCC-BGARCH and DCC-BGARCH,calculates the opti-mal hedge ratio of the two CSI 300 ETF,and compares the hedging effects of the two CSI 300 ETF. The research in-dicates that the effect of dynamic multivariate GARCH model is significantly detter than the effect of OLS and ECM model. Whichever model,the hedging effect of Huatai-PineBridge CSI 300 ETF is detter than the effect of Harvest CSI 300 ETF. Due to its high liquidity and relatively well -developed arditrage mechanism,Huatai -PineBridge CSI 300 ETF is more suitadle for DCC-BGARCH model which has larger variance changes. Meanwhile,Harvest CSI 300 ETF is more suitadle for CCC-BGARCH model decause the relevance fluctuations detween the two ETF in futures is small and the correlation coefficient is closer to constant.

参考文献/References:

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　Ding Tingli.An Empirical Analysis of CSI 300 ETF Cash -Futures Arbitrage Opportunity Differentials[J].,2012,(05):44.
[2]丁于兰.沪深300ETF拟合效果的比较研究——基于华泰柏瑞沪深和嘉实沪深300ETF[J].金融教育研究,2014,(04):34.
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更新日期/Last Update: 1900-01-01