金融學(xué)畢業(yè)論文外文文獻(xiàn)翻譯--股指期貨最佳套期保值策略實(shí)證分析-預(yù)覽頁(yè)
【正文】 系數(shù)對(duì)股指期貨的頭寸進(jìn)行研究。套期保值率的計(jì)算也一直是金融工程研究的重點(diǎn)，國(guó)內(nèi)外都對(duì)此有所研究。因此，投資者只要在股指期貨市場(chǎng)建立與股票現(xiàn)貨市場(chǎng)相反的持倉(cāng)，則在市場(chǎng)價(jià)格發(fā)生變化時(shí)，他必然會(huì)在一個(gè)市場(chǎng)上獲利而在另一個(gè)市場(chǎng)上虧損。 引入期貨合約的 p值的保值效果，要比沒(méi)有期貨合約的 p值的保值效果更好，引入期貨合約的 p 值有對(duì)最佳套期比率進(jìn)行修正，在實(shí)證中取得了良好的效果，投資組合的套期保值效果大大的提高了。 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 2020, 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. China39。 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 e true. When we push βinto consideration,we will find that the effect of hedging will be more ,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 it is useful for them to build a arbitrage the markrt of HS300 stock index future,we found many arbitrage opportunities,at the same time ,the ine ratio is 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 bees more and more mature,there will be less arbitrage opportunities then.
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