股指期货投资

股指期货在投资组合管理中的套期保值研究

Research on Hedging of Stock Index Futures in Investment Portfolio Management

股指期货的投资策略能满足市场需求；

The investment strategy of stock index futures can satisfy the market need .

通过做空机制，投资者可以使用股指期货进行投资组合套期保值，从而实现双边交易。

With the short mechanism , investors can hedge by using stock index futures .

所以对于包含股指期货的投资组合的风险度量就显得尤为重要。

So risk measurement of the portfolio including stock index futures is very important .

从股指期货的投资策略入手，分析了股指期货的投机、套利及套期保值交易策略，并结合这些策略分别阐述了各自风险与收益的会计处理方法和会计信息披露。

The research starts with the stock index futures investment strategy , analyze speculation , arbitrage , hedge trade strategy , and expatiate accounting method , then the accounting information disclosure of the risk and income of these strategies .

股指期货作为一种投资工具有可能改变现货市场的流动性。

As an investment tool , stock index futures may change the liquidity of the cash market .

对于现货市场中的长期投资者，参考股指期货市场走势进行投资决策的价值不大。

For long-term investors in spot market , refer to the stock index futures market for making investment decision is of little value .

对于现货市场的短线交易者，可以参考股指期货价格走势作为投资决策方向的一个预判指标，在股指期货市场和现货市场之间构建-个风险管理体系。

For short-term traders in the spot market , they may refer to stock index futures price for making investment decision , then set up a risk management system between stock index futures market and spot market .

风险规避策略包括建立严密的法规与监管体系、科学合理地设计股指期货合约、完善市场运行机制、加强期货市场与股票市场的合作和壮大与完善股指期货的投资主体等七个方面。

Risk-avoiding actions include establishing strict law and monitor system , scientific stock index futures agreement , consummating the market mechanism , strengthening the cooperation of stock market and futures market , enlarging the stock index futures investment body and etc.