摘要
股指期货作为投资者进行套期保值的主要工具,在ETF投资管理中发挥着重要作用。针对中国股票市场波动幅度大的特征,文章运用股指期货对上证50ETF和深证100ETF进行了套期保值实证研究。文中首先引用风险测量模型评估了ETF的系统性风险,再根据简单套期保值理论和风险最小化套期保值理论,应用一元回归模型分别计算得出了上述ETF的套期保值率,进而通过实证分析得出了一些有益的结论。
Stock index futures is the major tool for the investors' hedging and has important effect on the ETF(Exchange Traded Funds) investment.Aiming at the characteristics of China stock market fluctuations' varying within wide limits,this paper takes Shanghai 50 ETF and Shenzhen 100 ETF for the hedge empirical study with the stock index futures.The paper firstly evaluates ETF systematic risk by citing risk measurement models,and then based on simple hedging strategy and risk minimization hedging strategy,adopts unitary linear model to calculate the above hedge ratios of ETF respectively,and furthemore draws some useful conclusions by analysis of empirical study.
出处
《大连理工大学学报（社会科学版）》
2007年第1期27-31,共5页
Journal of Dalian University of Technology(Social Sciences)
基金
教育部博士点基金项目(20040141031)
霍英东教育基金(101084)
