佳木斯大学学报（自然科学版）
佳木斯大學學報（自然科學版）
가목사대학학보（자연과학판）
JOURNAL OF JIAMUSI UNIVERSITY (NATURAL SCIENCE EDITION)
2014年
4期
638-640
,共3页
沪深300股指期货%套期保值%隔季连续%实证分析
滬深300股指期貨%套期保值%隔季連續%實證分析
호심300고지기화%투기보치%격계련속%실증분석
CSI stock index futures%hedge%season-between-season continuity%empirical analysis
选取市面上9只蓝筹股，通过当月连续、隔月连续、当季连续、隔季连续得到IF1402和IF1403的时间更长的股票指数，通过175组数据分别得出股票和沪深300股指期货的值，然后使用实际数据得出使用套期保值之后的组合收益率的方差，通过对比得出当月股指期货比季月股指期货效果更好及其他结论。
選取市麵上9隻藍籌股，通過噹月連續、隔月連續、噹季連續、隔季連續得到IF1402和IF1403的時間更長的股票指數，通過175組數據分彆得齣股票和滬深300股指期貨的值，然後使用實際數據得齣使用套期保值之後的組閤收益率的方差，通過對比得齣噹月股指期貨比季月股指期貨效果更好及其他結論。
선취시면상9지람주고，통과당월련속、격월련속、당계련속、격계련속득도IF1402화IF1403적시간경장적고표지수，통과175조수거분별득출고표화호심300고지기화적치，연후사용실제수거득출사용투기보치지후적조합수익솔적방차，통과대비득출당월고지기화비계월고지기화효과경호급기타결론。
Nine bule-chip shares were studied in this paper .By continuously calculating stock indexes of IF1402 and IF1403 for the right month , the month between month , the right season , and the season between season .The values of stocks and CSI 300 stock index future were calculated through using 175 volume of data . And then, the variance of was analyzed after hedging .The conclusion showed that the effect of the right month stock index futures were better than that of the season -month ones .
