金融學畢業(yè)論文外文文獻翻譯--股指期貨最佳套期保值策略實證分析

1、<p><b>　　中文3040字</b></p><p><b>　　外文文獻翻譯</b></p><p><b>　　專業(yè)：金融學</b></p><p><b>　　姓名： </b></p><p><b>　　學號： </

2、b></p><p><b>　　指導老師： </b></p><p>　　股指期貨最佳套期保值策略實證分析</p><p>　　股票指數(shù)期貨，是一種以股票價格指數(shù)作為標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，可以達到規(guī)避風險和鎖定收益的目的。</p><p><b>　　現(xiàn)狀：<

3、/b></p><p>　　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。</p><p>　　中國證券業(yè)監(jiān)管部門于2010年4月16日批準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。</p><

4、p>　　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，這標志著我國正式推出了股指期貨。推出股指期貨后，風險低、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)期貨采用標準化的合約，合約的主要內(nèi)容和規(guī)定，見表1-1:</p><p>　　表1-1 滬深300指數(shù)期貨產(chǎn)品合約表</p><p>　　截至12月22日，共167個交易日，滬深3

5、00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：</p><p>　　圖1-1股指期貨成交量與持倉量</p><p>　　來源：申銀萬國證券股指期貨年度分析</p>&

6、lt;p>　　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。</p><p>　　股指期貨套期保值的原理：</p><p>　　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

7、適當?shù)奶灼诒Ｖ当嚷士梢赃_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。</p><p>　　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。</p><p>　　原理二:股指期貨的交割采用標的股票指數(shù)價格進行現(xiàn)金交割，那么到期日股指期貨價格與標的股票指數(shù)就會完全相同。</p><p>　　基于以上的原理，投資者通過在股票市場和股

8、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，達到鎖定價格，避免風險的目的。</p><p><b>　　套期保值的種類：</b></p><p>　　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。</p><p>　　多頭套期保值是指在投資者預期股票市場將要上漲，但買入股票的資金暫時還沒

9、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險。</p><p>　　空頭套期保值是指投資者預測目前股市的估值水平偏高，可能有下跌的風險，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

10、的空頭收益來彌補現(xiàn)貨市場的多頭虧損。</p><p>　　交叉套期保值是指當進行保值的現(xiàn)貨資產(chǎn)與期貨合約標的資產(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)生交叉保值風險。交叉保值風險不會隨著交割期的臨近而趨向于零。從某種意義上說，交叉保值風險是股票組合的非系統(tǒng)性風險。這時需要引入投資組合β值，將投資組合的收益率和股指的收益率關(guān)聯(lián)起來</p>

11、<p>　　股指期貨套期保值的功能：</p><p>　　股指期貨通常具有價格發(fā)現(xiàn)、規(guī)避風險及投資三大功能，而規(guī)避風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)避風險，也就是風險的對沖，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)波動風險，實現(xiàn)資產(chǎn)的套期保值。</p><p>　

12、　我們以股指期貨空頭套期保值為例：</p><p>　　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)性風險，可賣出9月份滬深300指數(shù)期貨進行保值。</p><p>　　如果該投資者做空100張9月到期合約 [10

13、000000/（3324×300）≈100]，則到9月17日收盤時：</p><p>　　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</p><p>　　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：</p><p>　　表1-2

14、滬深300股指期貨套期保值</p><p>　　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。</p><p>　　如果有投資者擁有較多資金欲投資于股票現(xiàn)貨，又擔心建倉期內(nèi)大盤出現(xiàn)非預期大幅度上漲導致成本過高，也可以采用多頭套期保值，即在期貨上建立相應多頭頭寸，利用期貨盈余抵消現(xiàn)貨成本上升的風險。在現(xiàn)實中，投資者還可以利用投資組合的

15、β系數(shù)對股指期貨的頭寸進行研究。</p><p>　　套期保值比率的引入：</p><p>　　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中，學者關(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。</p><p>

16、　　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險。假定投資者是絕對的風險厭惡者，其保值的目的是將風險最小化，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&l

17、t;/p><p><b>　　結(jié)論：</b></p><p>　　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?shù)奶灼诒Ｖ当嚷士梢赃_到虧損與獲利的大

18、致平衡，從而實現(xiàn)保值的目的。</p><p>　　而通過計算β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。</p><p>　　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。&l

19、t;/p><p>　　股指期貨推出后，投資者對指數(shù)走勢有不同預期、對風險有不同的認知和承受力、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。</p><p>　　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。本文認為在我國推出股指期貨的初期，會

20、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。</p><p>　　The Empirical Analysis of the best Hedging Strategy of Stock Index Future</p><p>　　Stocks index Futures，a stock Price index as a subject of Financial

21、 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.</p><p>　　Gene

22、ral situation:</p><p>　　Since 2006, China’s 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 facto

23、rs and turbulence on the market .At this time, the introduction of stock index futures certainly has an important realistic significance.</p><p>　　China's securities regulator on April, 16th approved Sha

24、nghai-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.</p><p>　　In China ,the first f

25、our 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 lo

26、w risk and stable return will be pursued by investors .HS300 stock index futures take standardized contract,the main content and principles are as follows:</p><p>　　Table1-1 The Contract Table of HS300 Stock

27、 Index Future</p><p>　　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

28、 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 i

29、s as follows:</p><p>　　Stock Index Futures’ exchange quantity and open interest</p><p>　　exchange quantity Open Interest</p><p>　　We can see that the volume is so big that stock ind

30、ex futures has been the focus of the investors from China.And the effect in hedging is huge.</p><p>　　The Theory of Hedging:</p><p>　　The reason why the stock index futures can have the function

31、 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 investor

32、s 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

33、</p><p>　　Part 1:There is a same direction in the price of futures and the price of spot market of one stock index.</p><p>　　Part 2:If the trade of the stock index futures use the cash as the su

34、bject of the stock index futures,the price of the stock index futures will be completely the same as the stock index .</p><p>　　Take these two principles into consideration, investors can use an opposite ope

35、ration 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.</p><p>　　T

36、he Styles of Hedging:</p><p>　　There are three types of hedging,they are selling heding,buying hedging,and cross hedging.</p><p>　　Buying Hedging:Investors insure that the price of stock will be

37、 stronger but they don’t 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.</p><p>　　Selling Hedgin

38、g: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 won’t s

39、ell out the stock.Then,they can use selling hedging to reach the goal of avoiding risk and locking yield.</p><p>　　Cross Hedging:When the subject of contracts of present is different from futures .It is nece

40、ssary 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 β.To make the hedging more perfect.</p><p

41、>　　The Functions of the Stock Index Future:</p><p>　　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 f

42、unction 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 asse

43、t come true.</p><p>　　We take the selling hedging of stock index future as follows:</p><p>　　March 1st,2010,HS300 spot market opening price is 3324,September 17th 2010,HS300 the closing price st

44、ock 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.</p><p>　　If the inve

45、stor sell out 100 future contract in the month of 9 ,than [10000000/（3324×300）≈100],then we can get a closing price of September 17th:</p><p>　　Table 1-2 Hedging of HS300 stock index future</p>

46、<p>　　We can see from the table ,after selling hedging ,no matter how the index of HS300 change ,the investor’s total asset will be not change.</p><p>　　If investor have much capital and want to put the

47、m into stock market ,but he worrys that system risk will come ,at this time, he can use buying hedging .In reality ,investor can use βto study the volume of stock index future.</p><p>　　The Introduction of H

48、edge Ratio:</p><p>　　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

49、 hedge ratio . Amonge them ,most of them are based on OLS ,and then make out the best hedge ratio to hedging.</p><p>　　To gain the perfect effect of hedging ,it is a key to figure out hedge ratio .Estimation

50、 of edge ratio is always important to finance engineering’s 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 e

51、ffective 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 th</p><p>　　Concl

52、usion:</p><p>　　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 p

53、rice of spot market ,hence, they have the same 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

54、 the spot market .We can get a balance of loss and gain through calculating a suitable he</p><p>　　When we push βinto consideration,we will find that the effect of hedging will be more perfect.Meanwhile,we w

55、ill analysis the best hedge scope through hedge ratio,and it can be calculated through model OLS,then we will ensure that we can make the investor get the biggest profit.</p><p>　　It is clear that it is bett

56、er to push βinto calculation and the effect of hedging will be better.,especially in the empirical analysis of stock index future.</p><p>　　With the introduction of stock index future,investors have differen

57、t expections to risk and others.and it is useful for them to build a arbitrage opportunitiy.In the markrt of HS300 stock index future,we found many arbitrage opportunities,at the same time ,the income ratio is perfect.Th

58、is article assume that at the beginning of the stock index future,there will be a lot of arbitrage opportunities,however,with the stock index future market becomes more and more mature,there will be less arbitrage</p&