金融学-股指期货最佳套期保值策略实证分析-中英文对照外文文献翻译-学位论文.doc

南京财经大学

外文文献翻译

专业：金融学
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股指期货最佳套期保值策略实证分析
股票指数期货，是一种以股票价格指数作为标的物的金融期货合约，是一种金融衍生工具，通过做空股指期货，可以达到规避风险和锁定收益的目的。
现状：
自2006年中国股市一路飘升，充分活跃了股票市场，掀起股市投资的热潮，与此同时，也加重了市场上的投机因素和市场的动荡。此时，推出股票指数期货的现实意义自然极为重要。
中国证券业监管部门于2010年4月16日批准位于上海的中国金融期货交易所推出股指期货交易，这是中国走向市场经济的一个具有历史性意义的里程碑。
4月16日我国首批四个沪深300指数期货合约在中国金融期货交易所正式挂牌交易，这标志着我国正式推出了股指期货。推出股指期货后，风险低、收益率稳定的股指期货套利将会成为投资者追逐的热点.沪深300指数期货采用标准化的合约，合约的主要内容和规定，见表1-1:
表1-1 沪深300指数期货产品合约表
项目
内容
合约标的
沪深300指数
和约乘数
每点300元
报价单位
指数点
最小变动价位
0.2点
交易月份
当月，下月及随后两个季月
交易时间
9:15-11:30（第一节）13:00-15:15（第二节）
最后交易日交易时间
9:15-11:30（第一节）13:00-15:15（第二节）
每日价格最大波动限制
上一个交易日结算价的正负10%
交割方式
现金交割
最后交易日
合约到期月份的第三个周五，遇法定节假日或不可抗力顺延
交割日期
同最后交易日
交割额代码
IF

截至12月22日，共167个交易日，沪深300股指期货累计成交4432万手。累计成交金额39.6万亿元。日均成交量近26.5万手日均成交金额2371亿元，历史最高成交量为7月15日474780手，总体来看，市场交投比较活跃，流动性较好，报价连续，成交迅速。（申银万国期货股指期货年度报告）如下表所示：
图1-1股指期货成交量与持仓量
来源：申银万国证券股指期货年度分析
由表可知，交易量如此之大，显然，股指期货已经成为中国投资者的宠儿。它在套期保值中所起到的效果，是无可比拟的。
股指期货套期保值的原理：
股指期货之所以具有套期保值的功能，是因为在一般情况下，股指期货的价格与股票现货的价格受相近因素的影响，它们的变动方向是一致的，因此，投资者只要在股指期货市场上建立与股票现货市场相反的持仓，通过计算适当的套期保值比率可以达到亏损与获利的大致平衡，从而实现套期保值的目的。其基本原理有以下两个方面。
原理一:同一股票指数的期货价格走势与现货价格走势基本一致。
原理二:股指期货的交割采用标的股票指数价格进行现金交割，那么到期日股指期货价格与标的股票指数就会完全相同。
基于以上的原理，投资者通过在股票市场和股指期货市场分别进行相反的操作，以期在未来的时间内通过一个市场的亏损，弥补另一个市场的盈利，达到锁定价格，避免风险的目的。
套期保值的种类：
套期保值的策略主要有多头套期保值、空头套期保值和交叉保值。
多头套期保值是指在投资者预期股票市场将要上涨，但买入股票的资金暂时还没有到位，因此投资者也可以通过股指期货的保证金的杠杆作用，利用较少的资金先在期货市场上建立多头头寸来套期保值，锁定买入成本。避免在资金没有到位这段时间，股票价格变动带来的风险。
空头套期保值是指投资者预测目前股市的估值水平偏高，可能有下跌的风险，投资者持有的投资组合也会随着股指下跌。同时投资对股票长线有信心，不愿意将股票抛出。投资者通过在期货市场配置与现货市场多头相反的空头头寸，以期通过期货市场的空头收益来弥补现货市场的多头亏损。
交叉套期保值是指当进行保值的现货资产与期货合约标的资产不完全相同时，就引入了交叉保值的概念。在交叉保值中，由于选择的期货和现货价格走势并不完全一致，所以会产生交叉保值风险。交叉保值风险不会随着交割期的临近而趋向于零。从某种意义上说，交叉保值风险是股票组合的非系统性风险。这时需要引入投资组合β值，将投资组合的收益率和股指的收益率关联起来
股指期货套期保值的功能：
股指期货通常具有价格发现、规避风险及投资三大功能，而规避风险是期货交易的最主要功能。股指期货的作用中最重要的是规避风险，也就是风险的对冲，即套期保值，具体指通过利用股指期货和指数现货的反向操作，使得股指期货的收益（损失）与指数现货的损失（收益）相互对冲，从而规避市场的系统波动风险，实现资产的套期保值。
我们以股指期货空头套期保值为例：
2010年3月1日，沪深300指数现货报价为3324点，在仿真交易市场，2010年9月到期（9月17日到期）的沪深300股指期货合约报价为3400点，某投资者持有价值为1亿元人民币的市场组合，为防范在9月18日之前出现系统性风险，可卖出9月份沪深300指数期货进行保值
如果该投资者做空100张9月到期合约 [10000000/（3324×300）≈100]，则到9月17日收盘时：
现货头寸价值=1亿元×9月17日现货收盘价/3月1日现货报价
期货头寸盈亏=300元×（9月17日期货结算价﹣3月1日期货报价）×做空合约张数，在不同的指数点位下，头寸变化如下表所示：

表1-2 沪深300股指期货套期保值
9月17日沪深300指数
现货头寸价值（元）
期货头寸价值（元）
合计（元）
2900
87244284
12720000
99964284
3000
90252707.58
9720000
99972707.58
3100
93261131.17
6720000
99981131.17
3200
96269。554.75
3720000
99989554.75
3300
99277978.34
720000
99997978.34
3400
102286401.9
-2280000
100006401.9
3500
105294825.5
-5280000
100014825.5
3600
108303249.1
-8280000
100023249.1
3700
111311672.7
-11280000
100031672.7

由表可知，经过空头套期保值后，不论2010年9月沪深300指数如何变化，该投资者的账户总值基本维持不变。
如果有投资者拥有较多资金欲投资于股票现货，又担心建仓期内大盘出现非预期大幅度上涨导致成本过高，也可以采用多头套期保值，即在期货上建立相应多头头寸，利用期货盈余抵消现货成本上升的风险。在现实中，投资者还可以利用投资组合的β系数对股指期货的头寸进行研究。
套期保值比率的引入：
在套期保值交易中，套期保值者对套期保值比率(hedge ratio)的选择，关系着整个套期保值的效果，关于股指期货套期保值的文献中，学者关注最多的问题就是如何估计套期保值比率。其中大多数都以最小方差理论为基础，运用最小二乘估计方法来估计最优套期保值比率。
要取得理想的套期保值效果，关键在于套期保值率的计算。套期保值率的计算也一直是金融工程研究的重点，国内外都对此有所研究。从传统的套期保值理论到现代套期保值理论取得了很大的发展，其中OLS模型是一种简单而有效的计算方法，把套期保值看作投资者选择现货和期货的投资组合来降低组合的风险。假定投资者是绝对的风险厌恶者，其保值的目的是将风险最小化，由此得到最小方差下的套期保值比率。通过使用现货价格和期货价格的历史数据，作简单的回归分析即可求得
结论：
股指期货之所以具有套期保值的功能，是因为在一般情况下，股指期货的价格与股票现货的价格受相近因素的影响，从而它们的变动方向是一致的。因此，投资者只要在股指期货市场建立与股票现货市场相反的持仓，则在市场价格发生变化时，他必然会在一个市场上获利而在另一个市场上亏损。通过计算适当的套期保值比率可以达到亏损与获利的大致平衡，从而实现保值的目的。
而通过计算β系数可以对套期保值的头寸进行修正。同时，通过OLS模型计算最优套期保值比率h来测算出最优套期保值规模，这样使投资者取得利润最大化。
引入期货合约的p值的保值效果，要比没有期货合约的p值的保值效果更好，引入期货合约的p值有对最佳套期比率进行修正，在实证中取得了良好的效果，投资组合的套期保值效果大大的提高了。
股指期货推出后，投资者对指数走势有不同预期、对风险有不同的认知和承受力、对成份股现金分红有不同估测，并且T+0的交易机制下短时间内获利机会反复出现也会影响投机心理，这些因素反映到期货交易中就会导致期货的实际价格与其理论价格出现偏离，形成套利机会。
沪深300指数期货在仿真交易期间存在着大量的套利机会，收益率也很丰厚。本文认为在我国推出股指期货的初期，会涌现大量的套利机会，随着股指期货市场的不断成熟，套利机会会逐渐的减少。
The Empirical Analysis of the best Hedging Strategy of Stock Index Future
Stocks index Futures，a stock Price index as a subject of Financial futures contracts ,is a kind of derivative financial instruments(Financial Derivative Instrument)，by Putting stock index futures on a fall to reach the goal of avoiding risk and locking yield.
General situation:
Since 2006, China’s stock market has kept soaring, which fully activated the stock market, set off upsurge of investment in the stock market, while it also increased speculation factors and turbulence on the market .At this time, the introduction of stock index futures certainly has an important realistic significance.
China's securities regulator on April, 16th approved Shanghai-based China Financial Futures Exchange (CFFEX) to undertake stock index futures trade .It means China passed an historic milestone on the path to a market-driven economy.
In China ,the first four HS300 Stock index futures contract was listing in the Financial Future Exchange on April 16，and it marked that China launched the stock index future officially. After the introduction of stock index，arbitrage with low risk and stable return will be pursued by investors .HS300 stock index futures take standardized contract,the main content and principles are as follows:

Table1-1 The Contract Table of HS300 Stock Index Future
Subject
Content
The subject of contract
HS300 stock index future
Contract multiplier
300yuan/dian
Contract size
Index
Minimum price fluctuation
0.2
Contract month
The present and next month,and the later season
Contract time
9:15-11:30（part one）13:00-15:15（part two）
Last trading day and trading time
9:15-11:30（part one）13:00-15:15（part two）
Daily price fluctuation
The last trading day’s closing price×± 10%
Delivery day
Cash delivery
Last trading day
The third Friday of due contract’s month，meeting legal festivals or force majeure prolongs
Delivery day
The same to the last trading day
Delivery volume decode
IF

By December 22th,there are 167 trading days,HS300 stock index futures has 44.32million contracts ,the total capital reached 39600 billion yuan.There is 0.265 million contracts everyday and the capital reached 237.1 billion yuan.In history,the biggest volume is 474780 in July 15th ,we can see that the market is very active and have a fine flow. (offered by shenyin wanguo future year report),the graph is as follows:
Stock Index Futures’ exchange quantity and open interest

exchange quantity Open Interest

We can see that the volume is so big that stock index futures has been the focus of the investors from China.And the effect in hedging is huge.
The Theory of Hedging:
The reason why the stock index futures can have the function of hedging is that,at the normal circumstance,there are the same factors works in the price of the stock index futures and the price of spot market.They have the same trend in the direction of change,so,if only investors build a contract in the stock index futures in the future market which has a opposite direction in the spot market.We can get a balance of loss and gain through calculating a suitable hedging ratio,then we can make our purpose come true.Its theory has two mayor parts as follows:
Part 1:There is a same direction in the price of futures and the price of spot market of one stock index.
Part 2:If the trade of the stock index futures use the cash as the subject of the stock index futures,the price of the stock index futures will be completely the same as the stock index .
Take these two principles into consideration, investors can use an opposite operation in the stock market and the stock future,in order to use the gain in the one market to make up the loss in the other market.At last we can reach the goal of avoiding risk and locking yield.
The Styles of Hedging:
There are three types of hedging,they are selling heding,buying hedging,and cross hedging.
Buying Hedging:Investors insure that the price of stock will be stronger but they don’t have enough money,at this time,they can use the ensurance of stock index futures to build buying hedging to reach the goal of avoiding risk and locking yield.
Selling Hedging:investors insure that the present price of stock is overvalued and theywill come back to normal level,so, the investors invests will be lower,but at the same time,they are confident of the long development,they won’t sell out the stock.Then,they can use selling hedging to reach the goal of avoiding risk and locking yield.
Cross Hedging:When the subject of contracts of present is different from futures .It is necessary to push the concept of cross hedging.In cross hedging,the trend of present and the future are different,the risk of cross will be comeout.It is necessary to push β.To make the hedging more perfect.
The Functions of the Stock Index Future:
There are three main functions of stock index futures,they can decide the price, reach the goal of avoiding risk and locking yield.The most important function of stock index future is avoiding risk,that is to say the hedge of risk----hedging.To be detailedly,we can use present loss or gain to hedge the gain or loss in the future market,and then make the hedging of asset come true.
We take the selling hedging of stock index future as follows:
March 1st,2010,HS300 spot market opening price is 3324,September 17th 2010,HS300 the closing price stock index future is 3400,an investor has 100000000yuan,in order to invoid the system risk before September,18th 2010,they can sell out HS300 stock index future to make hedging come true.
If the investor sell out 100 future contract in the month of 9 ,than [10000000/（3324×300）≈100],then we can get a closing price of September 17th:

Table 1-2 Hedging of HS300 stock index future
The Index of HS300 Sept 17th
spot market position value（yuan）
Future position value（yuan）
Account（yuan）
2900
87244284
12720000
99964284
3000
90252707.58
9720000
99972707.58
3100
93261131.17
6720000
99981131.17
3200
96269。554.75
3720000
99989554.75
3300
99277978.34
720000
99997978.34
3400
102286401.9
-2280000
100006401.9
3500
105294825.5
-5280000
100014825.5
3600
108303249.1
-8280000
100023249.1
3700
111311672.7
-11280000
100031672.7

We can see from the table ,after selling hedging ,no matter how the index of HS300 change ,the investor’s total asset will be not change.
If investor have much capital and want to put them into stock market ,but he worrys that system risk will come ,at this time, he can use buying hedging .In reality ,investor can use βto study the volume of stock index future.
The Introduction of Hedge Ratio:
At the trades of hedging ,the hedge ratio make a significantly important role in the whole effect of hedging .Considering the articles of hedging ,studies always focus on how to make out hedge ratio . Amonge them ,most of them are based on OLS ,and then make out the best hedge ratio to hedging.
To gain the perfect effect of hedging ,it is a key to figure out hedge ratio .Estimation of edge ratio is always important to finance engineering’s research ,and home and abroad do a lot to it. From traditionary hedge theory to modern hedge theory , we make prodigious progress ,and OLS model is a easy and effective model by looking hedge as combination of goods and futures to reduce its risk; and yet hedge ratio under it .By using historical data of goods and futures’ price ,it is easy to get the result through regression analysis.
Conclusion:
The reason why the stock index futures can have the function of hedging is that ,at the normal circumstance ,there are the same factors works in the price of the stock index futures and the price of spot market ,hence, they have the same They have the same trend in the direction of change ,so ,if only investors build a contract in the stock index futures in the future market which has a opposite direction in the spot market .We can get a balance of loss and gain through calculating a suitable hedging ratio ,at last ,we can make our hedge come true.
When we push βinto consideration,we will find that the effect of hedging will be more perfect.Meanwhile,we will analysis the best hedge scope through hedge ratio,and it can be calculated through model OLS,then we will ensure that we can make the investor get the biggest profit.
It is clear that it is better to push βinto calculation and the effect of hedging will be better.,especially in the empirical analysis of stock index future.
With the introduction of stock index future,investors have different expections to risk and others.and it is useful for them to build a arbitrage opportunitiy.In the markrt of HS300 stock index future,we found many arbitrage opportunities,at the same time ,the income ratio is perfect.This article assume that at the beginning of the stock index future,there will be a lot of arbitrage opportunities,however,with the stock index future market becomes more and more mature,there will be less arbitrage opportunities then.