摘要
国际组合投资涉及多币种汇率风险,分别使用双边货币期货进行套保要承担较高套保成本。参考美元指数期货的实践,本文提出基于人民币指数期货的综合套保策略。实证结果表明,无论对于单个货币资产还是分散化投资的国际股指、债指组合,引入人民币指数期货能够显著降低收益率波动,提高抵御汇率波动的能力,同时拓展收益空间,是有效的汇率风险综合套保工具;人民币指数期货套保效率显著优于货币期货篮子,在发达国家股指市场表现更加突出。采用基于指数加权移动平均模型(EWMA)的动态套保策略,使得人民币指数期货收益对股指或债指市场波动敏感度降低,在市场极端状况时仍能保持相对中性。
Multi-currency risks are involved in global investment, but traditional hedging methods with cur- rency futures take high cost. Potential benefits of the Chinese Yuan Index （CNYX） futures as an invest- ment and risk management vehicle are analyzed in this paper referred to US dollar index experience. Re- suits presented in empirical experiments indicate that investment in the CNYX futures can offer comparable returns with lower risk parameters, and stronger risk bearing ability of diversified portfolios consisting of domestic and international stock and bond indices over the sample period. The CNYX futures prove to be a good investment vehicle to increase the risk-adjusted return and an effective tool to hedge foreign currency exposure for RMB-based investors. It serves as a more efficient structured product in risk mitigation com- pared to a basket of foreign currencies, especially in developed equity markets. Dynamic hedging strategies based on exponential weighted moving average （EWMA） model also yield some economic value. Moreo- ver, the performance of the CNYX futures during periods of extreme movements in stock and bond indices is also investigated. It can be found that the CNYX is negatively correlated with stock indices during mar- ket extremes, which is an attractive property from a diversification perspective. The CNYX is relatively uncorrelated with bond indices in both market extremes and periods of relative calm.
出处
《中国管理科学》
CSSCI
北大核心
2014年第2期1-9,共9页
Chinese Journal of Management Science
基金
国家自然科学基金资助项目(70831001
71371022)
关键词
国际投资
汇率风险
套保策略
人民币指数期货
global investment
foreign exchange risk
hedging strategy
CNYX index futures
