[1]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):34-40.
　DING Yulan.The Comparative Study of CSI 300 ETF Fitting Results---Based on Huatai - PineBridge CSI 300 and Harvest CSI 300 ETF[J].,2014,(04):34-40.
点击复制

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()
分享到：

《金融教育研究》[ISSN:1006-6977/CN:61-1281/TN]

卷:
期数:
2014年04期
页码:
34-40
栏目:
出版日期:
2014-08-31

文章信息/Info

Title:
The Comparative Study of CSI 300 ETF Fitting Results---Based on Huatai - PineBridge CSI 300 and Harvest CSI 300 ETF
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; 拟合效果; 实证分析
Keywords:
CSI 300 ETF;  fitting results;  empirical analysis;  difference
分类号:
F830.91
文献标志码:
A
摘要:
文章比较分析了沪深300股指期货套期保值所采用的几种现货工具:上证180ETF或上证50ETF和深证100ETF构建的ETF组合、华泰柏瑞沪深300ETF、嘉实沪深300ETF,实证检验了两只沪深300ETF以及ETF组合对沪深300股指期货的拟合效果的差异,为现货工具的选择给出建议,并为后续对沪深300ETF的套期保值的研究做出铺垫。
Abstract:
This article compares the differences of these cash instruments for hedging in stock index futures:the portfolio of Shanghai 180 ETF and Shenzhen 100 ETF,the portfolio of Shanghai 50 ETF and Shenzhen 100 ETF, Huatai - PineBridge CSI 300 and Harvest CSI 300 ETF. This paper also studies different fitting results for CSI 300ETF,provides some suggestions to make correct choice,and does foreshadowing for the following research.

参考文献/References:

[1]Garbade K D,Silber W L.Price movements and price discovery in futures and cash markets[J].The Review of Economics and Statistics,1983,65(2):289-297.
[2]Stoll H R,Whaley R E.The dynamics of stock index and stock index futures returns[J].Journal of Financial and Quantitative Analysis,1990,25(4):441-468.
[3]Granger C W J.Some properties of time series data and their use in econometric model specification[J].Journal of Econometrics,1981,16(1):121-130.
[4]Ghosh A.Co-integration and error correction models:inter temporal causality between index and futures prices[J].Journal of Futures Markets,1993,13(2):193-198.
[5]Tse Y K.Lead-lag relationship between spot index and futures price of the Nikkei stock average[J].Journal of Forecasting,1995,14(7):553-563.
[6]Chu Q C,Hsieh W G,Tse Y.Price discovery on the S&P 500 index markets:An analysis of spot index,index futures and SPDRs[J].International Review of Financial Analysis,1999,8(1):21-34.
[7]Brooks C,Rew A,Ritson S.A trading strategy based on the lead-lag relationship between the spot index and contract for the FTSE100[J].International Journal of Forecasting,2001,17(1):31-44.
[8]Lin C C,Chen S Y,Hwang D Y,et al.Does index futures dominate index spot Evidence from Tai wan market[J].Review of Pacific Basin Financial Markets and Policies,2002,5(2):255-275.
[9]Pattarin F,Ferretti R.The Mib30 index and futures relationship:econometric analysis and implications for hedging[J].Applied Financial Economics,2004,14(18):1281-1289.
[10]Ryoo H J,Smith G.The impact of stock index futures on the Korean stock market[J].Applied Financial Economics,2004,14(4):243-251.
[11]J.E.Beasley,N.Meade,and T.J.Chang,An Evolutionary Heuristic for the Index Tracking Problem[Z].Working Paper,October 2001:2-34.

相似文献/References:

[1]丁挺立.沪深300ETF期现套利机会差异性实证分析[J].金融教育研究,2012,(05):44.
　Ding Tingli.An Empirical Analysis of CSI 300 ETF Cash -Futures Arbitrage Opportunity Differentials[J].,2012,(04):44.
[2]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.
　DING Yulan.The Comparative Study of CSI 300 ETF Hedging Effects[J].,2014,(04):32.

更新日期/Last Update: 1900-01-01