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股指期货上市已将近3年,随着机构投资者的逐渐介入,套利空间已微乎其微,市场已基本成熟。从国际的经验来看,股指期货最大的功能在于套保(对冲)。本文将把齐鲁证券2011年的报告《股指期货择时交易策略》中改进后的策略,应用于股指期货的择时套保中,并对股指期货上市以来的数据进行检验。套保功能作为国内第一种成熟的金融衍生品,股指期货最大的功能应该在于机构投资者的套保,也即对冲。
Stock index futures market has been nearly 3 years, with the gradual involvement of institutional investors, arbitrage space has been minimal, the market has basically matured. From the international experience, the biggest function of stock index futures lies in hedging (hedging). This article will be Qilu Securities report in 2011, “stock index futures timing strategy,” the improved strategy used in timing hedging of stock index futures, and stock index futures since the listing data to test. Hedging function As the first mature financial derivatives in China, the biggest function of stock index futures should be hedging by institutional investors, that is, hedging.