【摘要】 通过在ECM-GARCH模型中引入非对称基差项,研究了基差对股指期货和现货回报的条件均值及风险结构影响的非对称效应,在此基础上研究了非对称效应对股指期货动态对冲策略的影响。通过对国际上主要股指期货和现货的实证分析表明,基差对股指期货和现货回报的条件均值及风险结构都存在显著的非对称影响,考虑基差非对称效应的对冲策略能有效提高股指期货对冲的效率。更多还原

【Abstract】 The paper deals with asymmetric effect of basis on the time-varying variance-covariance of index futures and spot returns and its impacts on dynamic hedging.We propose an alternative specification of the ECM-GARCH model in which the effect is incorporated for estimating MVHRs.Empirical evidence from in index future markets suggests that the basis effect is asymmetric.Both in-sample and out-of-sample comparisons of the hedging performance reveal that the model with the asymmetric effect provides greater risk reduction than the conventional models.更多还原