基于我国股指期货的最优套期保值研究
摘要
中国资本市场经历了二十年的发展,目前流通市值近20万亿,上市公司2000余家。尽管发展的过程中也经历了很多挫折,但中国资本市场,仍将伴随着金融创新和金融深化程度的加深,高速的发展。目前我国已经相继推出了沪深300股指期货合约和融资融券试点业务,外汇市场上也推出了期权产品,而且在将来,还会继续推出转融通、备兑权证等,从而进一步丰富我国的金融产品。与传统的证券市场交易策略相比,未来的金融市场会发生深刻的变革,如果不能适应新的市场条件,不仅无法把握时代的机遇,反而会在新的市场格局下造成巨大的损失。本文正是在这个大背景下,介绍股指期货在套期保值中的作用。2010年4月16日,我国正式推出了沪深300股指期货合约,提供了新的可以投资获利的金融产品,也为投资者提供了对冲市场系统性风险的金融工具。通过股指期货,投资者可以进行,投机、套利和套期保值等交易。在期货市场上进行套期保值,可以起到促进价格发现,稳定金融市场,降低波动性等作用。通过套期保值,投资者可以对持有的股票头寸面临的风险进行对冲,将市场风险转化为相对于市场风险小很多的基差风险。而在套期保值操作中,最关键的步骤就是如何确定最优的套期保值比率。因此本文将站在套期保值者的角度,综合国内外学者关于如何实现最优的套期保值策略的方法进行研究。最原始的套期保值策略就是1:1的套期保值,即持有与现货头寸数量相同,方向相反的期货头寸。然而,由于现货市场与期货市场对市场信息的反应的不同,而且也很难存在与现货头寸大小完全相同的期货品种,尤其是应用股票价格指数期货对现货股票头寸进行套期保值,是一种交叉套期保值策略,这就使得1:1的套期保值策略往往不是最优的,从而促使了众多在实践中的投资者和理论学者对最优的套期保值比率问题展开研究。从传统的OLS普通最小二乘法,二元VAR,二元误差修正模型法,到后来的GARCH类模型、SV类模型,以及近年来在金融领域得到广泛应用的Copula方法均应用其中,可以说任何金融理论方法上的创新都对套期保值理论有借鉴意义。本文,在简要回顾了国内外优秀学者关于最优套期保值比率问题相关文献的基础上,综合分析对比了不同最优套期保值理论和方法模型。并使用我国沪深300股指期货合约的真实交易数据,进行了实证分析。
Chinese capital market has nearly 20 trillion market value and more than 2000 listed companies, during the last 20 years development. Although the development of the stock market experienced many setbacks, Chinese capital market will remain with financial innovation, financial liberation and high-speed development. At present our country has launched the HS300 index futures and securities lending business, foreign exchange market also launched options products, but also in the future, will continue to release to refinance and covered warrant, further to enrich the financial products. Compared with the traditional trading strategies, the future of the financial market is undergoing profound changes, if investors can't adapt to the new conditions, not only cannot grasp the opportunity, but also could cause great lose. Against this backdrop, this paper introduces hedging by stock index futures. April 16, 2010, China officially launched HS300 index futures. Use the stock index futures, investors can speculation, hedging, and arbitrage. Hedging in the futures markets, can promote the price discovery, stable financial market and reduce volatility. Through hedging, investors can transform market risk into much smaller base risk. While in the hedging operation, the key point is how to determine the optimal hedging ratio. Therefore this paper will stand at the hedgers’point, overseas scholars have pointed about how to achieve the optimal hedging ratio. The most primitive hedging strategy is the 1:1 the hedging, namely hold spot and the same position, but opposite direction futures position. However, due to the different reaction, especially the stock price index futures hedging, is a cross hedging strategies, which makes the hedging strategies tend not to be optimal, and prompted the research on the optimal hedging ratios in practice and theoretical. From the OLS method, VAR, ECM, to GARCH class models, SV class models, as well as Copula methods which widely used in financial field recent years, any financial theoretical innovation can be used in hedging theory. After briefly reviewed the outstanding scholars’theories, use the stock index futures contract real transaction data, to carry out the empirical analysis.
Chinese capital market has nearly 20 trillion market value and more than 2000 listed companies, during the last 20 years development. Although the development of the stock market experienced many setbacks, Chinese capital market will remain with financial innovation, financial liberation and high-speed development. At present our country has launched the HS300 index futures and securities lending business, foreign exchange market also launched options products, but also in the future, will continue to release to refinance and covered warrant, further to enrich the financial products. Compared with the traditional trading strategies, the future of the financial market is undergoing profound changes, if investors can't adapt to the new conditions, not only cannot grasp the opportunity, but also could cause great lose. Against this backdrop, this paper introduces hedging by stock index futures. April 16, 2010, China officially launched HS300 index futures. Use the stock index futures, investors can speculation, hedging, and arbitrage. Hedging in the futures markets, can promote the price discovery, stable financial market and reduce volatility. Through hedging, investors can transform market risk into much smaller base risk. While in the hedging operation, the key point is how to determine the optimal hedging ratio. Therefore this paper will stand at the hedgers’point, overseas scholars have pointed about how to achieve the optimal hedging ratio. The most primitive hedging strategy is the 1:1 the hedging, namely hold spot and the same position, but opposite direction futures position. However, due to the different reaction, especially the stock price index futures hedging, is a cross hedging strategies, which makes the hedging strategies tend not to be optimal, and prompted the research on the optimal hedging ratios in practice and theoretical. From the OLS method, VAR, ECM, to GARCH class models, SV class models, as well as Copula methods which widely used in financial field recent years, any financial theoretical innovation can be used in hedging theory. After briefly reviewed the outstanding scholars’theories, use the stock index futures contract real transaction data, to carry out the empirical analysis.
引文
[1] Balke,S & Fomby,B. Threshold Cointegration[J]. International Economic Review, vol. 38(3):627-645
[2] Bollerslev & Tim. Generalized Autoregressive Conditional Heteroskedasticty[J]. Journal of Econometrics,1986, 31:307~327
[3] Chih-Chiang Hsu, Yaw-Huer Wang & Chih-Ping Tseng, Dynamic Hedging with Futures:A Copula-based GARCH Model[Z]
[4] Chou, W.L, Denis, K.K.F. & Lee, C.F. Hedging with the Nikkei index futures: The conventional approach versus the error correction model[J], Quarterly Review of Economics and Finance,1996(36): 495-505.
[5] Dimitris Kenourgios, Aristeidis Samitas & Panagiotis. Hedge ratio estimation and hedging effectiveness: the case of the S&P 500 stock index futures contract[J]. International Journal of Risk Assessment and Management. 2008: 121~134
[6] Ederington, L. The hedging performance of the new futures markets, Journal of Finance, 1979(34): 157-70.
[7] Eleftheria Kostika & Raphael N.Markellos. Optimal Hedge Ratio Estimation and Effectiveness using ARCD[Z].August 1,2007
[8] Engle, R. F., and T. Bollerslev, Modelling the Persistence of Conditional Variances[J], Econometric Reviews 1986(5):1-50.
[9] Frances In, Sangbae Kim. Hedge Ratio and Correlation between the Stock and the Futures Markets:Evidence from the Wavelet Analyses[Z], 2003
[10] Gabriel J.Power, Dmitry V.Vedenov. The Shape of the Optimal Hedge Ratio: Modeling Joint Spot-Futures Prices using an Empirical Copula-GARCH Model[Z]. 2008 Conference, April 21-22, 2008, St. Louis, Missouri 37609, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
[11] Gary E. Bond, Stanley R. Thompson. Risk Aversion and the Recommended Hedging Ratio[J]. Amercian Agricultural Economics Association. Nov.,1985(67-4): 870-872
[12] Ghosh, A. Cointegration and error correction models: intertemporalcausality between index and futures prices[J], Journal of Futures Markets, 1993(13):193-98.
[13] Granger, Clive W J. Developments in the Study of Cointegrated Economic Variables[J]. Oxford Bulletin of Economics and Statistics. 1986 vol. 48(3):213-28
[14] Gregor N.F.Copula parameter estimation by Maximum-Likelihood and Minimum-Distance estimators- A simulation study[Z]. Feb 3, 3009
[15] Hedibert F. Lopes, . Concepcion Ausin, Time-varying joint distribution through copulas[Z], University of Chicago, USA 27th July 2006
[16] Herbst, A.F., Kare, D.D. and Marshall, J.F. A time varying, convergence adjusted, minimum risk futures hedge ratio[J], Advances in Futures and Options Research,1993(6):137-55.
[17] Hsiang-Tai Lee, A Copula-Based Regime-Switching GARCH Model For Optimal Futures Hedging[J].Journal of Futures Markets.10 2009: 946-972
[18] Johnson. L.. The theory of speculation in commodity futures[J]. Review of Economic Studies, 1960(27): 139-51.
[19] Kumar Brajesh, Singh Priyanka and Pandey Ajay. Hedging Effectiveness of Constant and Time Varying Hedge Ratio in Indian Stock and Commodity Futures Markets[Z]. August 6, 2008.
[20] Lien D, Tes Y K. Hedging time-varying downside risk[J]. Journal of Futures Markets,1998(18): 705-722.
[21] Lien D, Tse Y K. Hedging downside risk with futures contracts[J]. Applied Financial Economics, 2000(10):163-170
[22] Lien, D.D. and Tse, Y.K. Fractional cointegration and futures 19 hedging, Journal of Futures Markets, 1999(19: 457-74.
[23] Lien,D. The Effect of the Cointegration Relationship on Futures Hedging: A Note[J]. Jouranl of Futures Markets, 1996(16):773~780
[24] Lien,D., Luo, X. Multiperiod Hedging in the Presence of ConditionalHeteroskedasticity[J]. Journal of Futures Markets, 1994(14):927~955
[25] Mao, J. C. T., Models of Capital Budeting, E-V Vs E-S[J], The Journal of Financial and Quantitative Analysis, 1970, Vol. 4, No. 5 .
[26] Myers, R. J., and S. R. Thompson, Generalized Optimal Hedge Ratio Estimation[J], American Journal of Agricultural Economics ,1989(71), 858-868.
[27] Park, Switzer. Time-varying distributions and the optimal hedge ratios for stock index futures[Z].1995b
[28] Patton, A.J., Modeling Asymmetric Exchange Rate Dependence,International Economic Review, 2006(47): 527-56.
[29] Patton, A.J., Estimation of Multivariate Models for Time Series of Possibly Different Lengths, Journal of Applied Econometrics, 2006(21): 147-73.
[30] Patton, A.J., Applications of Copula Theory in Financial Econometrics[Z],Unpublished Ph.D. dissertation, University of California, San Diego,2002
[31] Rama CONT, Yu Hang KAN. Dynamic hedging of portfolio credit derivatives.June 2008
[32] Riccardo Biondini, Yan-Xia Lin, Michael McCrae: A case study of the residual-based cointegration procedure[J] . JAMDS 7(1): 29-48 (2003)
[33] Sklar, A. Fonctions de répartitionàn dimensions et leurs marges[J], Publ. Inst. Statist. Univ. Paris.1959. 8: 229-231
[34] Stein J L. The Simultanteous Determination of Spot andFutures Prices[J]. American Economic Review. 1961(51):1012-1025.
[35] Umberto Cherubin , Elisa Luciano and Walter Vecchiato . Copula Methods in Finance[M].John Wily & Sons,Ltd.2004
[36] Wenling Joey Yang. M-GARCH Hedge Ratio sand Hedging Effectiveness in Australian Futures Markets[J].School of Finance and Business Economics, 2001
[37] Working.H. Hedging reconsidered[J]. Journal of Farm Economics, 1953, 35:544-561
[38] YiHao Lai,Cathy W.S.Chen,Richard Gerlach. Optimal dynamic hedging via copula-threshold-GARCH models[J]. Mathematics and Computers in Simlation. 2009. 2609-2624
[39]杜承栎.最优套期保值比率确定模型研究[D].2007年4月15日
[40]樊智,张世英.多元GARCH建模及其在中国股市分析中的应用[J].管理科学学报.2003年4月.68~73
[41]何晓彬.股指期货套期保值策略理论与应用研究[D].2008年6月
[42]梁朝辉,张维,王志强.套期保值计算模型在中国市场的有效性[J].天津大学学报,2006(S1)
[43]林孝贵,陈晓红.套期保值率的最小二乘估计[J].中南工业大学学报.2000年第6期.128~129
[44]刘列励.协整关系下铜期货套期保值率[J].现代科学管理.2006年第10期.7~9
[45]任仙玲.基于Copula理论的金融市场相依结构研究[D].2008年8月
[46]唐小我,马永开.利率套期保值策略研究[J].预测,1999(3):6
[47]王晓琴,米红.沪深300股指期货套期保值实证研究[J].学术论坛.2007年7期.99~102
[48]王欣,刘彦初,方兆本.股指期货套期保值率的小波分析方法[J].预测.2009年第6期.60~64,75
[49]王征,樊治,张权.期货套期保值的多期多目标规划模型[J].系统工程,1997(3):50-53.
[50]韦艳华,张世英.Copula理论及其在金融分析上的应用[M].清华大学出版社.2008年8月
[51]韦艳华.Copula理论及其在多变量金融时间序列分析上的应用[D].2004年6月
[52]吴博.股指期货套期保值模型选择和绩效评价—基于于沪深300股指期货仿真交易数据的实证分析[J].新金融.29~33
[53]吴冲锋,钱宏伟,吴文峰.期货套期保值理论与实证研究(1)[J].系统工程理论方法应用,1998(4):20~26.
[54]杨中原.基于风险最小的期货套期保值优化模型研究[D].2008年10月
[55]周友生,熊卫平,刘咏梅.论套期保值在商品融资风险防范中的应用[J].中南工业大学学报(社会科学版),1999(1):18~21.
[2] Bollerslev & Tim. Generalized Autoregressive Conditional Heteroskedasticty[J]. Journal of Econometrics,1986, 31:307~327
[3] Chih-Chiang Hsu, Yaw-Huer Wang & Chih-Ping Tseng, Dynamic Hedging with Futures:A Copula-based GARCH Model[Z]
[4] Chou, W.L, Denis, K.K.F. & Lee, C.F. Hedging with the Nikkei index futures: The conventional approach versus the error correction model[J], Quarterly Review of Economics and Finance,1996(36): 495-505.
[5] Dimitris Kenourgios, Aristeidis Samitas & Panagiotis. Hedge ratio estimation and hedging effectiveness: the case of the S&P 500 stock index futures contract[J]. International Journal of Risk Assessment and Management. 2008: 121~134
[6] Ederington, L. The hedging performance of the new futures markets, Journal of Finance, 1979(34): 157-70.
[7] Eleftheria Kostika & Raphael N.Markellos. Optimal Hedge Ratio Estimation and Effectiveness using ARCD[Z].August 1,2007
[8] Engle, R. F., and T. Bollerslev, Modelling the Persistence of Conditional Variances[J], Econometric Reviews 1986(5):1-50.
[9] Frances In, Sangbae Kim. Hedge Ratio and Correlation between the Stock and the Futures Markets:Evidence from the Wavelet Analyses[Z], 2003
[10] Gabriel J.Power, Dmitry V.Vedenov. The Shape of the Optimal Hedge Ratio: Modeling Joint Spot-Futures Prices using an Empirical Copula-GARCH Model[Z]. 2008 Conference, April 21-22, 2008, St. Louis, Missouri 37609, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
[11] Gary E. Bond, Stanley R. Thompson. Risk Aversion and the Recommended Hedging Ratio[J]. Amercian Agricultural Economics Association. Nov.,1985(67-4): 870-872
[12] Ghosh, A. Cointegration and error correction models: intertemporalcausality between index and futures prices[J], Journal of Futures Markets, 1993(13):193-98.
[13] Granger, Clive W J. Developments in the Study of Cointegrated Economic Variables[J]. Oxford Bulletin of Economics and Statistics. 1986 vol. 48(3):213-28
[14] Gregor N.F.Copula parameter estimation by Maximum-Likelihood and Minimum-Distance estimators- A simulation study[Z]. Feb 3, 3009
[15] Hedibert F. Lopes, . Concepcion Ausin, Time-varying joint distribution through copulas[Z], University of Chicago, USA 27th July 2006
[16] Herbst, A.F., Kare, D.D. and Marshall, J.F. A time varying, convergence adjusted, minimum risk futures hedge ratio[J], Advances in Futures and Options Research,1993(6):137-55.
[17] Hsiang-Tai Lee, A Copula-Based Regime-Switching GARCH Model For Optimal Futures Hedging[J].Journal of Futures Markets.10 2009: 946-972
[18] Johnson. L.. The theory of speculation in commodity futures[J]. Review of Economic Studies, 1960(27): 139-51.
[19] Kumar Brajesh, Singh Priyanka and Pandey Ajay. Hedging Effectiveness of Constant and Time Varying Hedge Ratio in Indian Stock and Commodity Futures Markets[Z]. August 6, 2008.
[20] Lien D, Tes Y K. Hedging time-varying downside risk[J]. Journal of Futures Markets,1998(18): 705-722.
[21] Lien D, Tse Y K. Hedging downside risk with futures contracts[J]. Applied Financial Economics, 2000(10):163-170
[22] Lien, D.D. and Tse, Y.K. Fractional cointegration and futures 19 hedging, Journal of Futures Markets, 1999(19: 457-74.
[23] Lien,D. The Effect of the Cointegration Relationship on Futures Hedging: A Note[J]. Jouranl of Futures Markets, 1996(16):773~780
[24] Lien,D., Luo, X. Multiperiod Hedging in the Presence of ConditionalHeteroskedasticity[J]. Journal of Futures Markets, 1994(14):927~955
[25] Mao, J. C. T., Models of Capital Budeting, E-V Vs E-S[J], The Journal of Financial and Quantitative Analysis, 1970, Vol. 4, No. 5 .
[26] Myers, R. J., and S. R. Thompson, Generalized Optimal Hedge Ratio Estimation[J], American Journal of Agricultural Economics ,1989(71), 858-868.
[27] Park, Switzer. Time-varying distributions and the optimal hedge ratios for stock index futures[Z].1995b
[28] Patton, A.J., Modeling Asymmetric Exchange Rate Dependence,International Economic Review, 2006(47): 527-56.
[29] Patton, A.J., Estimation of Multivariate Models for Time Series of Possibly Different Lengths, Journal of Applied Econometrics, 2006(21): 147-73.
[30] Patton, A.J., Applications of Copula Theory in Financial Econometrics[Z],Unpublished Ph.D. dissertation, University of California, San Diego,2002
[31] Rama CONT, Yu Hang KAN. Dynamic hedging of portfolio credit derivatives.June 2008
[32] Riccardo Biondini, Yan-Xia Lin, Michael McCrae: A case study of the residual-based cointegration procedure[J] . JAMDS 7(1): 29-48 (2003)
[33] Sklar, A. Fonctions de répartitionàn dimensions et leurs marges[J], Publ. Inst. Statist. Univ. Paris.1959. 8: 229-231
[34] Stein J L. The Simultanteous Determination of Spot andFutures Prices[J]. American Economic Review. 1961(51):1012-1025.
[35] Umberto Cherubin , Elisa Luciano and Walter Vecchiato . Copula Methods in Finance[M].John Wily & Sons,Ltd.2004
[36] Wenling Joey Yang. M-GARCH Hedge Ratio sand Hedging Effectiveness in Australian Futures Markets[J].School of Finance and Business Economics, 2001
[37] Working.H. Hedging reconsidered[J]. Journal of Farm Economics, 1953, 35:544-561
[38] YiHao Lai,Cathy W.S.Chen,Richard Gerlach. Optimal dynamic hedging via copula-threshold-GARCH models[J]. Mathematics and Computers in Simlation. 2009. 2609-2624
[39]杜承栎.最优套期保值比率确定模型研究[D].2007年4月15日
[40]樊智,张世英.多元GARCH建模及其在中国股市分析中的应用[J].管理科学学报.2003年4月.68~73
[41]何晓彬.股指期货套期保值策略理论与应用研究[D].2008年6月
[42]梁朝辉,张维,王志强.套期保值计算模型在中国市场的有效性[J].天津大学学报,2006(S1)
[43]林孝贵,陈晓红.套期保值率的最小二乘估计[J].中南工业大学学报.2000年第6期.128~129
[44]刘列励.协整关系下铜期货套期保值率[J].现代科学管理.2006年第10期.7~9
[45]任仙玲.基于Copula理论的金融市场相依结构研究[D].2008年8月
[46]唐小我,马永开.利率套期保值策略研究[J].预测,1999(3):6
[47]王晓琴,米红.沪深300股指期货套期保值实证研究[J].学术论坛.2007年7期.99~102
[48]王欣,刘彦初,方兆本.股指期货套期保值率的小波分析方法[J].预测.2009年第6期.60~64,75
[49]王征,樊治,张权.期货套期保值的多期多目标规划模型[J].系统工程,1997(3):50-53.
[50]韦艳华,张世英.Copula理论及其在金融分析上的应用[M].清华大学出版社.2008年8月
[51]韦艳华.Copula理论及其在多变量金融时间序列分析上的应用[D].2004年6月
[52]吴博.股指期货套期保值模型选择和绩效评价—基于于沪深300股指期货仿真交易数据的实证分析[J].新金融.29~33
[53]吴冲锋,钱宏伟,吴文峰.期货套期保值理论与实证研究(1)[J].系统工程理论方法应用,1998(4):20~26.
[54]杨中原.基于风险最小的期货套期保值优化模型研究[D].2008年10月
[55]周友生,熊卫平,刘咏梅.论套期保值在商品融资风险防范中的应用[J].中南工业大学学报(社会科学版),1999(1):18~21.