东篱科研大数据发现系统（DRDS）

位置：成果数据库 > 期刊 > 期刊详情页

股指期货对冲比率和对冲期限关系的多尺度研究

期刊名称：王春峰，张龙斌，房振明，股指期货对冲比率和对冲期限关系的多尺度研究，系统工程理论与实践．29（1）．
时间：0
分类：F224.0[经济管理—国民经济]
作者机构：[1]天津大学管理学院,天津300072
相关基金：国家杰出青年基金（70225002）;国家自然科学基金（70771076）.
相关项目：考虑市场噪音条件下资产均衡价格波动性估计方法与应用研究

关键词：股指期货, 小波分析, 最优对冲比率, 对冲期限, stock index futures, wavelet analysis, hedge ratio, hedge horizon

中文摘要：

为研究股指期货对冲比率与对冲期限的关系，基于小波分析推导了多尺度最优对冲比率的计算方法，揭示了期货和现货的波动性及相关性的多尺度变化导致了最优对冲比率和对冲效率多尺度变化的本质，通过对国际上具有代表性的股指期货的实证研究表明，股指期货和现货的波动性和相关性存在有规律的多尺度变化特征，其中，在高频尺度上，股指期货和现货的波动率差异较大，相关性较小，而在低频尺度上，波动率差异较小，相关性较大，进一步研究表明，波动性和相关性的多尺度变化导致了最优对冲比率及对冲效率呈相似规律的多尺度变化。

英文摘要：

In order to research on the relationship between stock index futures hedge ratio and hedging horizon, the multi-scale hedge ratio formula was inferred based on wavelet analysis. The formula revealed that the optimal hedge ratio varies over various hedge horizons due to the multi-scale characteristics of volatility and correlation between index futures and spots. Empirical analysis was studied using the international index futures data. The empirical results suggested that the correlation and volatility ratio between index futures and spots vary over various time scales. The differences between the volatility of index spots and futures in the high frequent scales are larger than the differences in the low frequent scale, but the correlations are smaller than the correlations in the low frequent scales. Further study has suggested that the hedge ratio and hedge effectiveness vary as the variance of correlation and volatility ratio between futures and spots over various time scales.