投资学
证券投资证券投资
    我国股市的显著特点是股指波幅大，系统性风险大，而这种风险无法通过分散投资加以回避。股指期货是规避系统风险的最佳工具，但其有效性却受套期保值比率的影响。因此，最优套期保值比率的确定问题成为期货套期保值理论研究的核心问题。由于我国股指期货迟迟未能推出，成熟市场所采用的直接用投资组合数据和股指期货数据来确定套期保值比率的方法在我国并不适用，在股指期货还未推出的约束条件下，如何确定最优套期保值比率，就具有极大的现实意义。文章首先对相关文献进行了综合研究分析，并归纳出最优套期保值比率的模型有五种：最小方差套期保值比率模型、均值方差套期保值比率模型、期望效用最大化套期保值比率模型、增广的均值基尼系数模型和半方差模型，然后根据现代最优套期保值比率确定的基本原理，在风险最小化框架下，推导出了针对我国国情的最优套期保值比率模型，并利用沪深300指数数据对四个投资组合的套期保值效果进行了实证研究。研究结论：1、该模型有效解决了我国目前股指期货数据缺乏的问题，同时证明了直接利用现货数据代替期货数据计算套期保值比率存在系统性的偏差，需要进行系数修正，但利用现货数据计算的初始套期保值比率用来研究套期保值的绩效却是有效的。2、实证研究发现投资组合与沪深300指数相关系数越高，套期保值效果越好，这跟理论模型得到的结果是一致的。 [英文摘要]：     The significant feature of china stock index is that it is more volatile and more risk, which can not be avoided by diversified investment. But how to choose hedging ratio impacts its effectiveness. Thus the determination of optimal ratio of futures hedging has become the core issue of theoretical research. China has failed to launch stock index futures.  The direct use of portfolio data and stock index futures data to determine the method in mature markets does not apply in China. So how to determine the optimal hedge ratio is of great practical significance in the conditions that stock index futures has not been yet introduced.
    This paper begins with a review of the Future Optimal Hedge Ratio theory, classifying the theory into five categories—the minimum variance model、the mean-variance model、the expected utility maximization model、the mean extended-Gini coefficient model as well as the semi variance model- and elaborate on parameter estimations of each model and further research on the relationships between models. Then I adapt the minimum variance model to the domestic environment and come up with a Future Optimal Hedge Ratio model. Utilizing CSI 300 Index I makes an empirical study on the effectiveness of the future hedge on four investment portfolios. The conclusions are that: first, the model solves the data shortage problem effectively.  And there exists a systematic bias in the future-spot data substitution and coefficient. So revisions are needed. I also find the original hedge ratio computed from spot data for performance evaluation is right. Second, Empirical studies have shown that the higher the coefficient between the portfolio and CSI 300 Index, the better the future hedge works, which is consistent with the theoretical model.