不同市场状态下股指期货套期保值效率研究——异常波动事件的影响效应

孙洁, 金鑫, 张云

系统工程理论与实践 ›› 2023, Vol. 43 ›› Issue (1) : 76-90.

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系统工程理论与实践 ›› 2023, Vol. 43 ›› Issue (1) : 76-90. DOI: 10.12011/SETP2021-3183
论文

不同市场状态下股指期货套期保值效率研究——异常波动事件的影响效应

    孙洁1, 金鑫2, 张云1
作者信息 +

The research on the hedging efficiency of CSI300 stock index futures in different market states——The impact of abnormal fluctuation

    SUN Jie1, JIN Xin2, ZHANG Yun1
Author information +
文章历史 +

摘要

本文以股市异常波动为背景系统地考察了沪深300股指期货在不同市场状态下动态套期保值效率的变化,以探究异常波动和交易限制措施对股指期货套期保值功能的影响.本文基于日内高频数据建立已实现协方差(RCOV)和已实现相关系数来度量期现收益率相关性,进而建立RCOV-Wishart-HAR模型以及MVGARCH族模型用于动态套期保值.本文的实证结果表明股指期现收益相关性在异常波动中出现下降,并在严格的交易限制措施出台后受到进一步冲击.股指期货的风险对冲效率相应地在异常波动中出现下降,但仍能够对冲70%以上的市场波动风险; 近年来,随着交易限制的逐渐松绑和市场波动率的降低,股指期货的风险对冲效率出现回升.套保成本在异常波动中最低,而交易受限后套保成本高于受限之前的水平,并没有随着交易限制的松绑而下降.以上结果表明股指期货在异常波动中较好的发挥了套期保值功能,交易限制措施阻碍了套期保值功能的发挥,现行的松绑政策一定程度上促进了股指期货套期保值功能的恢复,但仍有进一步的政策空间.

Abstract

1. School of Finance, Shanghai Lixin University of Accounting and Finance, Shanghai 201209, China; 2. School of Economics, Shanghai University of Finance and Economics, Shanghai 200433, China

关键词

异常波动 / 股指期货 / 套期保值 / 已实现协方差

Key words

abnormal fluctuation / CSI300 stock index futures / dynamic hedging / realized covariance

引用本文

导出引用
孙洁 , 金鑫 , 张云. 不同市场状态下股指期货套期保值效率研究——异常波动事件的影响效应. 系统工程理论与实践, 2023, 43(1): 76-90 https://doi.org/10.12011/SETP2021-3183
SUN Jie , JIN Xin , ZHANG Yun. The research on the hedging efficiency of CSI300 stock index futures in different market states——The impact of abnormal fluctuation. Systems Engineering - Theory & Practice, 2023, 43(1): 76-90 https://doi.org/10.12011/SETP2021-3183
中图分类号: F832.5   

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基金

国家自然科学基金(71773069, 72074150); 上海高校青年教师培养资助计划(ZZLX21019)
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