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论文编号：	2536
作者编号：	2120082162
上传时间：	2010/6/11 19:31:31
中文题目：	A+H股跨市场套期保值的研究
英文题目：	A Study on the Cross Marketing Hedging of A+H Shares
指导老师：	古志辉
中文关键字：	Garch模型;最优套期保值比率;跨市场套期保值;投资组合
英文关键字：	Garch model;Optimal hedge ratio;Cross-market hedging;Portfolio
中文摘要：	股票的市场风险通常分为系统风险和非系统风险。非系统风险可以通过股票投资组合的分散化来降低；系统风险是股票市场所有的上市公司面对的共同的风险，是不能通过分散化消除的，但是能利用股指期货套期保值对冲。然而我国股票市场缺乏股指期货等衍生金融工具，因此本文主要研究利用香港股指期货来对A股市场股票投资进行套期保值的可行性。 本研究运用实证研究与规范研究的方法，从研究A+H股套期保值作为出发点，首先从理论上推理风险最小化目标函数下Garch模型套期保值比率与传统套期保值比率套期保值组合有效性的比较；其次，利用A+H股相关数据建立Garch模型并预测收益率的方差，然后分别计算固定汇率和变动汇率下的基于风险最小化的A+H股动态最优套期保值比率，据此建立样本外的套期保值组合，并检验了套期保值的有效性和是否存在套利机会；最后提出基于马克维茨投资组合的套期保值最优比率的两阶段最优求解思路和实例。 论文主要得出以下结论： 1.A+H股套期保值是可行的且存在套利机会。 2.基于条件期望的最优套期保值比率优于传统非条件期望的最优套期保值比率。 3.短期内跨市场套期保值在固定汇率下进行跨市场套期保值是有效的。 4.长期内跨市场套期保值在汇率变动下进行跨市场套期保值是有效的且存在套利机会。 5.基于马克维茨投资组合理论确定的组合中各个资产的权重再进行跨市场套期保值在完全套期保值策略下是最优的，在风险最小化策略下不是最优的。 6.风险最小化套期保值下马克维茨投资组合中资产的权重分配可以利用二次规划求出。 7.在每个资产最优套期保值比率不确定情况下，可以利用狄克斯屈拉算法求出风险最小化套期保值条件下组合投资的资产的权重分配。
英文摘要：	Stock market risk is usually divided into systematic risk and non-systematic risk. Non-systematic risk can be reduced by diversified stock portfolio. On the contrary, system risk is all the common risk that the stock market listed companies face and can not be decentralized to eliminated, but can be hedged by using index futures. However, because of the lack of index futures and other derivative financial instruments in China’s stock market, this study used mainly to Hong Kong's stock index futures on the A-share market to hedge the feasibility of equity investments. This study used empirical research and normative research methods, from A + H shares of hedging as a starting point. Firstly, theoretically reasoned risk minimization objective function under the Garch model comparing with the traditional hedge ratio in hedging portfolio effectiveness; Secondly, used A + H share market data to establish Garch model and predict the rate of return variance, and then calculated the fixed exchange rate and exchange rate movements based on risk minimization of A + H shares of the dynamic optimal hedge ratio. It established the hedging portfolio sample and tested the effectiveness of hedging and the existence of arbitrage opportunities; Finally, this study raised solution ideas and examples of the hedging portfolio based on Markowitz optimal ratio of two-stage optimal. This study has got the following conclusions: 1. A + H shares hedging is feasible and the arbitrage opportunity exists. 2. The optimal hedge ratio based on conditional expectation is superior to traditional non-conditional expectation of the optimal hedge ratio. 3. Short-term cross-market hedging in the fixed exchange rate under the cross-market hedging is effective. 4. The long term cross-market hedging changes in the exchange rate under the cross-market hedging is effective and there is arbitrage opportunity. 5. Markowitz portfolio theory based on a combination of the various assets to determine the weight of further cross-market hedging strategy in fully hedging is optimal, but in the risk minimization strategy it is not optimal. 6. Markowitz risk minimization hedging portfolio of assets under the weight distribution can be obtained using quadratic programming. 7. In each of assets under uncertainty, the optimal hedge ratio can be calculated using Dicks Electra algorithm to minimize the risk of hedge portfolio of assets under the weight distribution.
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