股指期貨規(guī)避商品價格風險的實證研究.pdf

1、河北工程大學碩士學位論文股指期貨規(guī)避商品價格風險的實證研究姓名：張鳳霞申請學位級別：碩士專業(yè)：企業(yè)管理指導教師：王寶森20070501Abstract II Abstract In the market economy, price fluctuations in the stock market is often difficult to grasp. Price risk is unavoidable, which may brin

2、g disastrous consequences. Therefore, how to avoid commodity price risk became the current spot. This article studied the enterprise how to avoid the commodity price risk using the financial futures. Because the financi

3、al markets competition is day by day intense, promoting the stock index futures become essential. Firstly this article analysed the stock index futures and the commodity price which does not have the corresponding future

4、s contract, and obtained the correlative coefficient, and then established the cross-hedging model. The establishment of this model had avioded the heavy loss because of the commodity price change, and it had locked the

5、profit for the enterprise. It focused on the measure of Basis Risk as a result of hedging transactions. Taking the KOSPI200 stock index futures and the steel products as an example, it established the base difference ris

6、k measure model using the VaR method. Parameters in theVaR model is estimated by using the GARCH model and the SV model. We then analyzed two kinds of models’ merit and shortcoming to refer to the stock this finance time

7、 series portray ability aspect in the stock.We have obtained some related measures about risking controls through two kinds of model experiments result comparison, This utilized its theory for the enterprise in the actua

8、l operation to provide the matters needing attention. In the example, we have surveyed the KOSPI200 stock index futuers market-risking using the VaR technology. Under the normal market conditions, the supervising and man

9、aging department and the transaction may adjust the supervising and managing strategy and the risk capital preparation rate according to the date VaR value. The introduction of stock index futures provide an effective ri

10、sk measurement methods for our future. Shanghai and Shenzhen 300 Index, China's first financial futures variety has been launched. It will bring unprecedented opportunities and challenges.The theory in the paper has