ETF套期保值比率估计与效果评价
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摘要
伴随着金融市场的高速发展以及金融衍生产品数量的不断增多,特别是沪深300股指期货合约的发行上市,指数现货产品的投资者结束了只能做“单边市”的历史困境,意味着当证券市场步入熊市或预期市场走低出现时,投资者可以在期指市场上对冲其指数现货产品的系统性风险,从而达到套期保值的目的。就目前我国指数现货的品种来看,ETF是证券市场中最方便做套期保值交易的产品,它通过完全复制跟踪某一标的指数最大限度地降低了基金所面临的非系统性风险,缺点是无法规避诸如经济周期性波动、利率变化等系统性风险,但是,ETF的标的指数与沪深300指数之间存在极高相关性,因此,对于ETF投资者,沪深300股指期货合约成为其最主要的套期保值工具。不过,由于沪深300股指期货采取的是保证金和逐日盯市的交易制度,在高杠杆投资回报率下,其自身具有极大的投资风险,如何科学地进行套期保值操作不仅是学者研究的热点问题,更直接关系到广大ETF投资者的切身利益。
套期保值交易的核心是套期保值比率的确定,即投资者在期指市场上建立头寸规模的大小。本文从静态(OLS、VAR)和动态(CCC-GARCH、BEKK-GARCH)两个层面研究套期保值比率,得出符合我国当前证券市场形势的套期保值策略,同时,结合中金所关于套期保值交易的管理办法和投资者的资金状况,进一步给出适合我国指数现货投资者的技术路线图,对ETF投资者的套期保值操作具有重要的理论意义和现实意义。
本文的研究结构从五个方面展开：
第一章,引言：这部分主要包括选题背景和研究意义、国内外文献综述、研究方法和结构安排以及本文的创新之处等四个方面的内容。
第二章,理论基础：这部分重点有三方面内容；首先,本文详细介绍了ETF的交易原理、套期保值交易机制和风险状况。其次,介绍了沪深300股指期货的设计原理和交易规则等内容。最后介绍了进行套期保值操作的注意事项。
第三章,套期保值比率估计与效果评价模型的选择：这部分主要叙述了现货和期货样本的选取标准和具体步骤；给出了计量模型的具体内容；介绍了套期保值效果评价方法。
第四章,实证分析：这部分是本文的核心内容,主要从两个方面入手：静态策略和动态策略。具体包括计量模型的建立及检验、实证结果的分析、两种套期保值策略在样本内数据和样本外数据的表现。
第五章,总结与研究展望：本章首先分析了上一章得出的实证结果,并结合了实证结果和我国的证券市场制度给出了套期保值操作技术路线图。最后是本文对套期保值问题的研究展望部分。
本文的结论：
首先,对我国当前的ETF基金来说,无论是静态策略还是动态策略都对规避系统性风险都十分有效,套期保值后的系统性风险减少了至少85%以上。
其次,样本内数据和样本外数据的表现高度一致,说明当前我国的证券市场波动性较小,通过样本内数据得到的估计结果基本符合未来市场的变动趋势。
本文的创新之处：
第一,样本更加符合实际市场运行状况。本文选取的是沪深300股指期货的实际交易数据作为样本,比之前国内学者采用仿真交易数据所做的实证研究更加符合我国当前实际证券市场的运行。
第二,技术路线图的提出。本文对套期保值的研究,把证券市场的规章制度限制以及ETF投资者资金状况也囊括进来,并且给出了套期保值操作的技术路线图,做到了理论与实际相结合,而不是仅仅比较一下不同的计量模型结果就直接给出结论。
With the rapid development of financial markets and the increasing number of financial derivatives, especially the issuing and listing of the CSI300 stock index futures, index spot investors have ended the historical predicament can only do "unilateral market". That means when the stock market falling into a bear market or expected market goes down occurs, index spot investors can hedge the systemic risk by building the opposite position in the futures market, so as to achieve the purpose of hedging. For now our variety of stock index, ETF is the most convenient product to hedging. it through fully copy some underlying index to reduce the non-systematic risk at the most. But the drawback is unable to avoid systemic risk, Such as cyclical fluctuations, interest rate changes and so on. However, there are high correlation between ETF's underlying index and the CSI300 Index. So, for the investors, the CSI300 stock index futures contracts will undoubtedly become the most important hedging tool. But, due to the financial derivative products adopt ma-rgin mark-to-market and trading system, So in the highly leveraged investment rate of return, the derivative itself has great investment risks. Therefore, how to hedging operation of scientific research is not only timeless research, also related to the vital interests of the majority of ETF investors.
On hedging transactions, the most critical is to determine the hedge ratio, which means how large-scale positions investors intend to build in the futures market. In this paper, more comprehensive theoretical and empirical research has been done, by Compare static (OLS, VAR) with dynamic (CCC-GARCH, BEKK-GARCH),Get the hedging strategies that meet our current stock market situation. At the same time, combined with the hedging transactions on management way of China Financ-ial Futures Exchange and investor's financial situation, Further given technology roadmap for investors in China's stock index, for hedging operation has important theoretical and practical significance.
This paper is divided into five parts:
ChapterⅠ, Introduction:This section includes background and research topics of significance, domestic and international literature review, research methods and structural arrangements, the innovation of this paper four aspects.
ChapterⅡ, the theoretical basis:This section focuses on three aspects; Firstly, this part describes the principles of ETF trading, hedging mechanisms and risk profile; Secondly, introduced the CSI300 stock index futures trading rules and principles of design. Finally, the introduction of the hedging operation precautions.
ChapterⅢ, The choice of hedge ratio estimation model:This section primar-ily describes the spot and futures sample selection criteria and specific steps; gives the econometric model of the specific content; describes the evaluation method of hedging.
ChapterⅣ, the empirical analysis:This part is the core of this paper, which mainly includes two aspects:Static strategy and dynamic strategy. Including the establishment and testing econometric models, empirical analysis of the results, the performance of two kinds of hedging strategies both in the sample data and in the out-side sample data.
ChapterⅤ, Conclusions and Research Outlook:First, This chapter analyzes the empirical results derived from the previous chapter, and combined with the empirical results and our stock market system gives hedging technique roadmap. Finally, this paper studies the problem of hedging forward-looking section.
The paper concludes:
First, China's current ETF funds, whether static or dynamic strategies are very effective for avoid systemic risk, Systemic risk will be reduced at least 85% after hedging.
Second, the performance of sample data and outside-sample data highly consis-tent, indicating that the current stock market have less smaller volatility, the data ob-tained by the sample can be use to estimate future market movements.
The following are innovations in this article:
First, sample more meet with actual market health, this paper selected the real CSI300 stock index futures transaction data as the sample, empirical results mo- re suitable actual operational situation of the market than simulation trading data which domestic scholars often used in the past.
Second, Technology roadmap proposed. In this study of hedging transaction, Including the stock market regulations limit and the funds status of ETF invest-ors, And gives the hedging operations of technology roadmap,Truly a combination of theory and practice, rather than just compared the different results of the measu-rement model then given directly the conclusions.
套期保值交易的核心是套期保值比率的确定,即投资者在期指市场上建立头寸规模的大小。本文从静态(OLS、VAR)和动态(CCC-GARCH、BEKK-GARCH)两个层面研究套期保值比率,得出符合我国当前证券市场形势的套期保值策略,同时,结合中金所关于套期保值交易的管理办法和投资者的资金状况,进一步给出适合我国指数现货投资者的技术路线图,对ETF投资者的套期保值操作具有重要的理论意义和现实意义。
本文的研究结构从五个方面展开：
第一章,引言：这部分主要包括选题背景和研究意义、国内外文献综述、研究方法和结构安排以及本文的创新之处等四个方面的内容。
第二章,理论基础：这部分重点有三方面内容；首先,本文详细介绍了ETF的交易原理、套期保值交易机制和风险状况。其次,介绍了沪深300股指期货的设计原理和交易规则等内容。最后介绍了进行套期保值操作的注意事项。
第三章,套期保值比率估计与效果评价模型的选择：这部分主要叙述了现货和期货样本的选取标准和具体步骤；给出了计量模型的具体内容；介绍了套期保值效果评价方法。
第四章,实证分析：这部分是本文的核心内容,主要从两个方面入手：静态策略和动态策略。具体包括计量模型的建立及检验、实证结果的分析、两种套期保值策略在样本内数据和样本外数据的表现。
第五章,总结与研究展望：本章首先分析了上一章得出的实证结果,并结合了实证结果和我国的证券市场制度给出了套期保值操作技术路线图。最后是本文对套期保值问题的研究展望部分。
本文的结论：
首先,对我国当前的ETF基金来说,无论是静态策略还是动态策略都对规避系统性风险都十分有效,套期保值后的系统性风险减少了至少85%以上。
其次,样本内数据和样本外数据的表现高度一致,说明当前我国的证券市场波动性较小,通过样本内数据得到的估计结果基本符合未来市场的变动趋势。
本文的创新之处：
第一,样本更加符合实际市场运行状况。本文选取的是沪深300股指期货的实际交易数据作为样本,比之前国内学者采用仿真交易数据所做的实证研究更加符合我国当前实际证券市场的运行。
第二,技术路线图的提出。本文对套期保值的研究,把证券市场的规章制度限制以及ETF投资者资金状况也囊括进来,并且给出了套期保值操作的技术路线图,做到了理论与实际相结合,而不是仅仅比较一下不同的计量模型结果就直接给出结论。
With the rapid development of financial markets and the increasing number of financial derivatives, especially the issuing and listing of the CSI300 stock index futures, index spot investors have ended the historical predicament can only do "unilateral market". That means when the stock market falling into a bear market or expected market goes down occurs, index spot investors can hedge the systemic risk by building the opposite position in the futures market, so as to achieve the purpose of hedging. For now our variety of stock index, ETF is the most convenient product to hedging. it through fully copy some underlying index to reduce the non-systematic risk at the most. But the drawback is unable to avoid systemic risk, Such as cyclical fluctuations, interest rate changes and so on. However, there are high correlation between ETF's underlying index and the CSI300 Index. So, for the investors, the CSI300 stock index futures contracts will undoubtedly become the most important hedging tool. But, due to the financial derivative products adopt ma-rgin mark-to-market and trading system, So in the highly leveraged investment rate of return, the derivative itself has great investment risks. Therefore, how to hedging operation of scientific research is not only timeless research, also related to the vital interests of the majority of ETF investors.
On hedging transactions, the most critical is to determine the hedge ratio, which means how large-scale positions investors intend to build in the futures market. In this paper, more comprehensive theoretical and empirical research has been done, by Compare static (OLS, VAR) with dynamic (CCC-GARCH, BEKK-GARCH),Get the hedging strategies that meet our current stock market situation. At the same time, combined with the hedging transactions on management way of China Financ-ial Futures Exchange and investor's financial situation, Further given technology roadmap for investors in China's stock index, for hedging operation has important theoretical and practical significance.
This paper is divided into five parts:
ChapterⅠ, Introduction:This section includes background and research topics of significance, domestic and international literature review, research methods and structural arrangements, the innovation of this paper four aspects.
ChapterⅡ, the theoretical basis:This section focuses on three aspects; Firstly, this part describes the principles of ETF trading, hedging mechanisms and risk profile; Secondly, introduced the CSI300 stock index futures trading rules and principles of design. Finally, the introduction of the hedging operation precautions.
ChapterⅢ, The choice of hedge ratio estimation model:This section primar-ily describes the spot and futures sample selection criteria and specific steps; gives the econometric model of the specific content; describes the evaluation method of hedging.
ChapterⅣ, the empirical analysis:This part is the core of this paper, which mainly includes two aspects:Static strategy and dynamic strategy. Including the establishment and testing econometric models, empirical analysis of the results, the performance of two kinds of hedging strategies both in the sample data and in the out-side sample data.
ChapterⅤ, Conclusions and Research Outlook:First, This chapter analyzes the empirical results derived from the previous chapter, and combined with the empirical results and our stock market system gives hedging technique roadmap. Finally, this paper studies the problem of hedging forward-looking section.
The paper concludes:
First, China's current ETF funds, whether static or dynamic strategies are very effective for avoid systemic risk, Systemic risk will be reduced at least 85% after hedging.
Second, the performance of sample data and outside-sample data highly consis-tent, indicating that the current stock market have less smaller volatility, the data ob-tained by the sample can be use to estimate future market movements.
The following are innovations in this article:
First, sample more meet with actual market health, this paper selected the real CSI300 stock index futures transaction data as the sample, empirical results mo- re suitable actual operational situation of the market than simulation trading data which domestic scholars often used in the past.
Second, Technology roadmap proposed. In this study of hedging transaction, Including the stock market regulations limit and the funds status of ETF invest-ors, And gives the hedging operations of technology roadmap,Truly a combination of theory and practice, rather than just compared the different results of the measu-rement model then given directly the conclusions.
引文
①何晓彬.股指期货套期保值策略理论与应用研究[D].厦门大学,2008,2-9.
②高铁梅.计量经济分析方法与建模：EViews应用及实例(第二版),2009,178
①付剑茹.商品期货最优套期保值比估计及比较研究[D].华中科技大学,2009,12-14.
①安宗保.沪深300股指期货对上证50ETF套期保值的实证研究[D].云南财经大学,2008,34-35.
①高铁梅.计量经济分析方法与建模：EViews应用及实例(第二版),2009,178
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[2]安宗保.沪深300股指期货对上证50ETF套期保值的实证研究[D].云南财经大学,2008,34-35.
[3]段靓.股指期货最优套期保值比率[J].金融纵横,2011,(1)：37-40.
[4]方世建、桂玲、吴博.股指期货套期保值模型发展的比较评述[J].中国管理科学,2008,(10)：242-245.
[5]付剑茹.商品期货最优套期保值比估计及比较研究[D].华中科技大学,2009,12-14.
[6]何树红、谢伟、廖海华.股指期货的套期保值比率与绩效研究[J].统计与决策,2009,(11)：125-127.
[7]高铁梅.计量经济分析方法与建模——EViews应用及实例[M].第2版.清华大学出版社,2009.
[8]何晓彬.股指期货套期保值策略理论与应用研究[D].厦门大学,2008,2-9.
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[10]金融界网站基金频道.http://fund.jrj.com.cn/
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②高铁梅.计量经济分析方法与建模：EViews应用及实例(第二版),2009,178
①付剑茹.商品期货最优套期保值比估计及比较研究[D].华中科技大学,2009,12-14.
①安宗保.沪深300股指期货对上证50ETF套期保值的实证研究[D].云南财经大学,2008,34-35.
①高铁梅.计量经济分析方法与建模：EViews应用及实例(第二版),2009,178
[1]安宗保、杨定华.沪深300股指期货对上证50ETF的模拟分析[J],理论与实践,2008,(11)：31-33.
[2]安宗保.沪深300股指期货对上证50ETF套期保值的实证研究[D].云南财经大学,2008,34-35.
[3]段靓.股指期货最优套期保值比率[J].金融纵横,2011,(1)：37-40.
[4]方世建、桂玲、吴博.股指期货套期保值模型发展的比较评述[J].中国管理科学,2008,(10)：242-245.
[5]付剑茹.商品期货最优套期保值比估计及比较研究[D].华中科技大学,2009,12-14.
[6]何树红、谢伟、廖海华.股指期货的套期保值比率与绩效研究[J].统计与决策,2009,(11)：125-127.
[7]高铁梅.计量经济分析方法与建模——EViews应用及实例[M].第2版.清华大学出版社,2009.
[8]何晓彬.股指期货套期保值策略理论与应用研究[D].厦门大学,2008,2-9.
[9]靳云汇、李学.中国股市β系数的实证研究[J].数量经济技术经济研究,2000,(1).
[10]金融界网站基金频道.http://fund.jrj.com.cn/
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