Theories and Applications of Stock Index Futures Hedging Strategies

我国证券投资基金发展了十几年，它已经成为证券市场最重要的机构投资者之一，由于缺乏做空机制，基金经理只能减仓操作才能对冲系统风险，而国际上机构投资者使用股指期货进行投资组合套期保值是一个很基础的投资策略。我国即将推出股指期货，它将成为基金投资组合系统风险对冲的重要工具，目前国内仍缺少比较系统科学的股指期货套期保值策略方面的研究，因此股指期货套期保值这一课题研究具有十分重要理论和实际应用价值。本文对股指期货套期保值策略进行比较全面的理论和实证研究，力求理论联系实际，深入讨论各种套期保值比率估计模型，并研究实践中套期保值操作的关键问题和环节，进一步提出适合国内机构投资者的套期保值模型，为将来机构投资...Stock index futures hedging is basic investment strategy for investment portfolios of institutional investors in the developed international financial market. It will be an important vehicle to systematic risk hedging for domestic institutional investors after new investment vehicle, stock index future, is listed in china financial market. There has been no integrated study on this field, which ha...学位：经济学博士院系专业：经济学院计划统计系_统计学学号：2005140287

对我国期货市场套期保值有效性的测度

本文介绍了套期保值有效性的各种测度方法,包括Ederington测度方法、LPM模型测度方法、夏普比率模型测度方法、HKL测度方法等,并结合我国黄豆、铜、小麦的期货市场和现货市场数据进行实证研究

Research on the Test of Markov Switching Model According to the τ Statistics

本文根据Markov机制转换模型状态变量预测概率分布特性的分析,提出了基于τ统计量对模型状态数目的检验方法,还运用蒙特卡罗模拟方法模拟了检验所需要的τ统计量的经验分布。检验方法在计算上简单,不存在模型估计过程中多余参量问题的困扰,是一种简便可行的检验方法。最后,运用该检验方法对Hamilton的美国GDP模型进行检验研究,结论支持Hamilton的模型,认为美国GDP确实存在两个不同的增长状态。For the first time,the paper analyzes the character of the state variable's forecasting probability of the Markov Switching Model and proposes a new method of testing the model according to the statistics.The paper also simulates the empirical distribution which is necessary to the τ test by Mont Carlo method.The method of test has the advantage of simple computation and without nuisance parameter problem.At last,we test the Hamilton's America GDP model using our testing method.The paper gets the result that Hamilton's model is reasonable and the American GDP growth rate really has two different states

信息化测算的方法

信息化的迅速发展,对世界经济产生了深远的影响,各国都在探索国家信息化的测算方法,本文对国内外信息化测算方法进行了评价,并对进一步改进我国信息化指标体系与评价方法提出自己的看法

Empirical Study on Listed Companies' Allotment Financing Operation Performance

本文通过对上市公司配股前后经营绩效差异性研究,间接检验上市公司配股融资资金的使用效率,从而阐述强烈股权偏好下上市公司的圈钱效应。the article studies the difference of operation performance of listed company before and after allotment. Meanwhile, it tests the spending efficiency of capitals raised by rights issue, thereby proposes the "trap money" phenomena in China stock market

我国期货市场套期保值比率的估计方法

本文结合我国黄豆、铜、小麦的期货市场和现货市场数据进行实证研究,并运用Eder-ington套期保值有效性测度方法对不同套期保值比率估计方法的套期保值效果进行比较分析

C-2v-Symmetric C-60 Isomer in the Gas Phase: Experimental Evidence against Buckminsterfullerene (I-h-C-60)

Pure non-IPR (isolated-pentagon-rule) C-60 isomer has rarely been investigated experimentally. The recently reported availability of (C60Cl8)-C-#1809 opens an avenue for experimental investigation of C-#18098(60), a C-2v-symmetric C-60 isomer having two pairs of fused pentagons. Herein, the experiments on C-#1809(60) were performed oil the basis of thermal dechlorination of (C60Cl8)-C-#1809 in the solid state and gas phase. (C60Cl6)-C-#1812 was employed for comparative study. As determined by Raman and other methods, C-#1809(60) from thermal decomposition of (C60Cl8)-C-#1809 crystals readily coalesces to form carbon solid with a collapsed crystal lattice. In contrast, dechlorination via thermal spray of (C60Cl8)-C-#1809 in the gas phase is feasible for investigation of monodispersed all-carbon C-60 isomer, because the existence of C-#1809(60) in the gas phase has been confirmed by experimental evidence from mass spectrometry and high-perfomance-liquid-chromatography.National Natural Science Foundation of China 20525103,20531050,20721001 973 Program,2007CB81530