股指期货对冲比率和对冲期限关系的多尺度研究

Systems Engineering - Theory & Practice ›› 2009, Vol. 29 ›› Issue (1) : 6-12.

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PDF(557 KB)
Systems Engineering - Theory & Practice ›› 2009, Vol. 29 ›› Issue (1) : 6-12. DOI: 10.12011/1000-6788(2009)1-6
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Abstract

In order to research on the relationship between stock index futures hedge ratio and hedging horizon, the multi-scale hedge ratio formula was inferred based on wavelet analysis. The formula revealed that the optimal hedge ratio varies over various hedge horizons due to the multi-scale characteristics of volatility and correlation between index futures and spots. Empirical analysis
was studied using the international index futures data. The empirical results suggested that the correlation and volatility ratio between index futures and spots vary over various time scales. The differences between the volatility of index spots and futures in the high frequent scales are larger than the differences in the low frequent scale, but the correlations are smaller than the correlations in the low frequent scales. Further study has suggested that the hedge ratio and hedge effectiveness vary as the variance of correlation and volatility ratio between futures and spots over various time scales.

Key words

stock index futures / wavelet analysis / hedge ratio / hedge horizon

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