CAJ | 학술논문

文章基于我国股票型基金十大重仓股构建投资组合，并利用沪深300股指期货与新华富时A50指数期货的日数据对这两种股指期货的套期保值效率进行比较研究，以探究两者在套期保值效率上的差异和造成差异产生的原因。在利用OLS、VECM和ECM-BGRACH等静态和动态套期保值模型和基于风险最小化的套期保值绩效指标对沪深300股指期货与新华富时A50指数期货的套期保值效率进行研究后发现，在静态最优套保比、时变最优套保比和套期保值绩效指标的比较中，新华富时A50指数期货都要优于沪深300股指期货。这种套期保值效率上的差异主要来自于两个金融工具间的合约与交易规则的差别。建议通过设立适当时间的晚间电子盘交易，并允许金融机构在规定的份额内进行期指套利交易，以提升沪深300股指期货在套期保值市场功能上的效率。
문장기우아국고표형기금십대중창고구건투자조합，병이용호심300고지기화여신화부시A50지수기화적일수거대저량충고지기화적투기보치효솔진행비교연구，이탐구량자재투기보치효솔상적차이화조성차이산생적원인。재이용OLS、VECM화ECM-BGRACH등정태화동태투기보치모형화기우풍험최소화적투기보치적효지표대호심300고지기화여신화부시A50지수기화적투기보치효솔진행연구후발현，재정태최우투보비、시변최우투보비화투기보치적효지표적비교중，신화부시A50지수기화도요우우호심300고지기화。저충투기보치효솔상적차이주요래자우량개금융공구간적합약여교역규칙적차별。건의통과설립괄당시간적만간전자반교역，병윤허금융궤구재규정적빈액내진행기지투리교역，이제승호심300고지기화재투기보치시장공능상적효솔。
Through constructing portfolio with the ten great overweight held stocks by funds, the paper makes comparative research for the CSI 300 stock index futures and the FTES Xinhua A50 index futures by using daily data of them to find the hedging efficiency difference between them and the reasons that cause the difference. Based on OLS, VECM and ECM-GRACH static and dynamic hedging model and the minimum risk hedging performance indicators, the author finds that the FTES Xinhua A50 index futures are better than the CSI 300 index futures in the static optimal hedge ratio, time-varying optimal hedge ratio and hedging performance indicators. According to the results, it can be found that the difference results from the different contract and trading rules between the two financial instruments The author suggests that building up the evening electronic trading market in appropriate time and allow financial institutions to arbitrage by using stipulated quota for enhancing hedging efficiency of market function of CSI 300 stock index futures.