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根据我国资本市场现状,着重分析我国股指期货套期保值目前存在的障碍,利用约翰森(Johnson,1960)和斯坦(Stein,1961)的研究成果,阐述一种可行的套期保值方法,其次,通过沪深300指数期货对股指期货套期保值进行实证分析,算出进行套期保值所需的期货合约个数。结果表明本文阐述的方法能够提供一种较为有效的套期保值方法,可以作为实际交易过程中的操作参考。
According to the current situation of capital market in our country, this paper focuses on the existing obstacles in China’s stock index futures hedging. Based on the research results of Johnson (1960) and Stein (1961), a feasible hedging method is described. Secondly, Through the CSI 300 Index futures index futures hedging empirical analysis to calculate the number of futures contracts required for hedging. The results show that the method described in this article can provide a more effective hedging method, which can be used as an operational reference in the actual transaction process.