股指期货中英文对照外文翻译文献
期货期权术语中英文对照93866
一、期货1 Futures market 期货市场2 Futures contract 期货合约3 Financial futures 金融期货4 Commodity futures 商品期货5 Financial futures contract 金融期货合约6 Currency futures contract 货币期货合约7 Interest rate futures contract 利率期货合约8 Stock index futures contract 股票指数期货合约9 Financial forward contract 金融远期合约10 Clearing house 清算所11 Initial margins 初始保证金12 Settlement 交割13 Short seller 卖空者14 The Gilts 金边债券15 Futures delivery 期货交割16 Futures transaction 期货交易17 Hedging mechanism 规避机制18 Market expectation 市场预期19 To defuse(attempted monopoly positions) 冲破（形成的市场垄断状况）20 Net settlement status 净结算状况，净结算头寸21 Synthetic financial futures position 综合金融期货头寸22 Status inquiry 信用状况调查23 Stock indexes 股票指数24 Stock index futures 股票指数期货25 Currency futures 外币期货—27 Nearby futures 近期期货28 On a discount basis 以折价形式29 A long position 多头部位，利多形势30 A short position 空头部位，短缺头寸31 Short purchase 买空，空头补进32 Shifting risk 转嫁风险，转移风险33 Basis risk 基差风险34 Converge 集聚（期货和现货价格）35 Swing 变动（幅度），摆动，涨跌36 Cross hedge 交叉套做37 Volatile 易变的，不稳定的38 Volatile market 不稳定的市场行情39 Margin money 预收保证金，开设信用证保证金40 position 头寸，交易部位，部位41 Long position 多头寸，买进的期货合同42 Short position 空头43 Exchange position 外汇头寸，外汇动态44 Interest position 利率头寸45 Swap position 调期汇率头寸46 Square position 差额轧平（未抵冲的外汇买卖余额的轧平状况）47 Brokerage firm 经纪商（号）48 Security bond 保付单49 Post 登记总帐，过帐50 Brokerage 经纪业，付给经纪人的佣金51 FX futures contract 外汇期货合约52 Foreign currency futures 外汇期货53 Futures price 期货价格—54 Go long 入金，多头55 Total FX portfolio 外汇投资总额56 A long position 多头寸，买进的期货合约57 Go short 短缺，卖空，空头58 A short position 空头，卖出的期货合约59 Place an order 订购，下单60 Trading pit 交易场61 Open outcry 公开喊价，公开叫价62 Floor broker 场内经纪人63 Transactions costs 交易费用64 Zero-sum game 零和竞争（游戏）65 Current futures price 现时的期货价格66 The open interest 未结清权益67 Building agreement 具有约束力的协定68 Pay up 付清，缴清69 In force （法律上的）有效的70 Kill a bet 终止赌博71 Settlement price 结算价格72 Date of delivery 交割期73 Point of delivery 交割地点74 Futures commission merchants 期货经纪公司75 Market order 市价订单76 Time order 限时订单77 Opening order 开市价订单78 Closing order 收市价订单79 Basis order 基差订单80 Corners 垄断—81 Outright position 单笔头寸82 Direct hedging 直接套做83 Indirect hedging 间接套做84 Short hedging 空头套做85 Long arbitrage 多头套做86 Back spreads 反套利87 Margin call 保证金统治88 Price discovery 价格发现二、期权1 Option 期权，选择权，买卖期权2 Call and put options 买入期权和卖出期权3 Option buyer 期权的买方4 Option seller 期权的卖方5 Underlying securities 标的证券6 Exercise price, striking price 履约价格，认购价格7 Option fee =option premium or premium on option 期权费8 Intrinsic value 实际价值，内部价值9 Intrinsic utility 内在效用10 Arbitrage opportunity 套价机会11 Arbitrage 套购，套利，套汇12 Arbitrage of exchange or stock 套汇或套股13 Speculation on foreign exchange 外汇投机14 Speculation in stock 股票投机15 To be hedging 进行套期保值16 A put option on a debt security 债务证券的卖出期权17 Call options on an equity 权益（证券）的买入期权—18 Cover 弥补，补进（卖完的商品等）19 Write 签发，签署，承保，编写20 Margin call 追加保证金的通知21 Close out 平仓，结清（帐）22 Notional sum 名义金额23 Notional principal 名义本金24 Equity portfolio 股票资产25 Predetermined 预先约定的26 Strike price 协定价格27 Put (option) 卖方期权，看跌期权28 Call (option) 买方期权，看涨期权29 Open market 公开市场30 Premium 期权费31 Downside 下降趋势32 Open-ended 开口的，无限制的，无限度的33 Out-of-the-money 无内在价值的期权34 In-the-money 有内在价值的期权35 At-the-money 平值期权36 Crop up(out) 出现，呈现37 Cap 带利率上限的期权38 Floor 带利率下限的期权39 Floor trader 交易员40 Break-even 不亏不盈，收支相抵41 Asymmetry 不对称42 Symmetry 对称43 Sell forward 远期卖出44 Up-front fee 预付费用，先期费用—45 Change hands 交换，换手46 Contractual value 合同价格47 Over-the-counter 场外的，不同过交易所的48 Customize 按顾客要求制作49 Futures margin 期货保证金50 Initial margin 初始保证金51 Open position 头寸52 Maintenance margin 最低保证金，维持保证金53 Variation margin 盈亏保证金，变动保证54 Market makers 造市者55 Extrinsic value 外在价值56 Contracts of difference 差异合约57 Market-clearing 市场结算58 Adaptive expectations 适应性预期59 Bid-ask spread 递盘虚盘差价60 Small-order automatic system 小额定单执行系统61 Dealers 批发商62 Dual trading 双重交易63 Mature liquid contracts 到期合约64 Backwardation 现货溢价65 Nearby contract 近期合约66 Short-lived securities 短期有效证券67 Cash-and-carry arbitrage 现货持有套利68 Open positions 敞口头寸69 Uncovered interest arbitrage 未担保利率套利70 Premium 期权权利金71 Call-options 认购期权—72 Put-options 认沽期权73 Speculation 投机74 Cross hedging 交叉保值75 Hedging risk 套期保值风险76 Synthetic options 合成期权77 Option purchase price 期权的购进价格78 Options on futures contract 期货合同的期权交易79 Forward swap 远期掉期80 Swap rate 掉期率81 Risk transformation 风险转移82 Contract size 合约容量83 Daily limit 每日涨跌停板84 Double option 双向期权三、市场1 Physical trading现货交易2 Arbitrage 市场间套利3 Basis Price/ Strike Price 基本价格，履约价格4 Bear 卖空者，看跌者5 Bear market 空头市场，熊市6 Bull market7 Bottom 底价：某时间段内的最低价8 Peak 高价：某时间段的最高价9 Business day 交易日10 Primary market 初级市场11 Secondary market 二级市场—12 Principal 委托人，货主本人13 Profit Taking 获利回吐14 Prompt 即付15 Rally 回升16 Range 波幅17 Recovery 复苏18 Depression 萧条19 Scalp 小投机，日内多次交易20 Security deposit 保证金21 Session 交易时段22 Settlement price 结算价格23 Short hedge 卖出套期保值24 Long Hedge 买入套期保值25 Speculator 投机者26 Spot 现货27 Spread 价差：两个相关市场之间或相关商品之间的价格差异28 Switching转月：由一个期货合约转为另一个期货合约29 Technical analysis 技术分析法30 Tick size 最小价位31 Time value 时间价值32 Turnover/Volume 交易量33 Variation margin价格变动保证金34 Warehouse receipt 仓单35 American-style options 美式期权36 European-style options 欧式期权37 Arbitration 仲裁38 Assignment 转让—39 Average daily volume 平均每日交易量40 Board of trade 交易委员会41 Breakeven 平衡点（收支相抵）42 Brokerage/Commission 佣金43 Brokerage house 经纪行44 Buy to close 买进平仓45 Buy to open 买入建仓46 Canceling order 取消订单47 Clearing fee 结算费48 Close 收盘、收市49 Closing price 收盘价50 Coupon 票面利率51 Customer margin 客户保证金52 Daily trading limits 日交易限制53 Day trader 当日交易者54 Deferred 延期55 Delivery 交割，交收56 Delivery month 交割月57 Delivery points 交割点58 Equilibrium price 均衡价格59 Exhaustion gap 消耗缺口60 Expanded trading hours 延迟交易时间61 Expiration 到期，截止期限62 Federal funds rate 联邦基金利率63 Financial instrument 金融工具64 Floor trader 场内交易员65 Gross domestic product (GDP) 国内生产总值—66 High limit 涨停价67 Historical volatility 历史波幅68 Index 指数69 Initial margin 原始保证金70 Intrinsic value 内在价值71 Introducing broker (IB) 中介经纪商72 Lagging indicators 滞后指标73 Last trading day 最后交易日74 Lead month 最近合约月75 Leading indicators 领先指标76 Leverage 杠杆作用77 Limit order 限价委托单78 Liquid 流动性79 Liquidate 平仓，斩仓80 Mark-to-market 逐日结算81 Market order 市价委托单82 Market segment 市场划分83 Market value 市场价值84 Matched trade 配对交易85 Maturity 到期期间86 Notice day 通知日87 Position limit 持仓限额88 Purchasing power 购买力89 Quotation 报价90 Reference price 参考价格91 Resistance line 阻力线92 Retracement 背离—93 Support line支撑线94 Symbol 符号95 Target price 目标价格96 Trade balance 贸易收支97 Treasury bill 美国短期国债98 Variable limit 可变限度99 Writer 期权卖家100 Yield 收益率101 Yield curve 收益率曲线102 Yield to maturity 到期收益率欢迎下载11。
股指期货中英文对照外文翻译文献
股指期货中英文对照外文翻译文献(文档含英文原文和中文翻译)股指期货最佳套期保值策略实证分析股票指数期货，是一种以股票价格指数作为标的物的金融期货合约，是一种金融衍生工具，通过做空股指期货，可以达到规避风险和锁定收益的目的。
现状：自2006年中国股市一路飘升，充分活跃了股票市场，掀起股市投资的热潮，与此同时，也加重了市场上的投机因素和市场的动荡。
此时，推出股票指数期货的现实意义自然极为重要。
中国证券业监管部门于2010年4月16日批准位于上海的中国金融期货交易所推出股指期货交易，这是中国走向市场经济的一个具有历史性意义的里程碑。
4月16日我国首批四个沪深300指数期货合约在中国金融期货交易所正式挂牌交易，这标志着我国正式推出了股指期货。
推出股指期货后，风险低、收益率稳定的股指期货套利将会成为投资者追逐的热点.沪深300指数期货采用标准化的合约，合约的主要内容和规定，见表1-1:表1-1 沪深300指数期货产品合约表截至12月22日，共167个交易日，沪深300股指期货累计成交4432万手。
累计成交金额39.6万亿元。
日均成交量近26.5万手日均成交金额2371亿元，历史最高成交量为7月15日474780手，总体来看，市场交投比较活跃，流动性较好，报价连续，成交迅速。
（申银万国期货股指期货年度报告）如下表所示：图1-1股指期货成交量与持仓量来源：申银万国证券股指期货年度分析由表可知，交易量如此之大，显然，股指期货已经成为中国投资者的宠儿。
它在套期保值中所起到的效果，是无可比拟的。
股指期货套期保值的原理：股指期货之所以具有套期保值的功能，是因为在一般情况下，股指期货的价格与股票现货的价格受相近因素的影响，它们的变动方向是一致的，因此，投资者只要在股指期货市场上建立与股票现货市场相反的持仓，通过计算适当的套期保值比率可以达到亏损与获利的大致平衡，从而实现套期保值的目的。
其基本原理有以下两个方面。
原理一:同一股票指数的期货价格走势与现货价格走势基本一致。
The evidence from the listing of Nikkei Stock Average options
Abstract
This paper investigates the impact of the listing of options on the Nikkei Stock Average (NSA) on the volatility, bid-ask spread and trading volume for stocks listed in the First Section of the Tokyo Stock Exchange. Our results indicate that trading volume, volatility, and bid-ask spreads decline for the stocks contained in the Nikkei 225 Index after the listing of the index options. Cross-sectional regressions that control for changes in spread, volume, and price indicate that the options listing is associated with decreases in volatility for the index stocks. We conjecture that the observed results are consistent with the hypothesis that the advent of options trading causes a migration of speculative and market-wide information-oriented trading activity from the underlying market to the options market.
期货行业的中英文对照词汇表教程文件
Abandon 放弃：确认期权失效Actuals 现货（LME普遍使用physical）Arbitrage 市场间套利Assay 检验分析Ask 要价，喊价At-the-Money 相等价值：期权履约价与当前期权期货合约的现价完全相同Backpricing 有效时间定价：生产者常用LME 结算价作为报价基准, 每天公布的结算价到次日中午有效。
又称"公认定价"(Pricing on the Known)Backwardation 现货升水：现货价高于期货价（又称Back），是为逆向市场、倒价市场Base Metal 贱金属，基金属：除金、银、铂族以外的金属Bar Chart 条形图Basis 基差：同一种商品现货价与期货价之差Basis Price 基本价格，履约价格：期权交易中买卖双方商定，并按此进行交易的价格。
又称敲定价格（Strik Price），通常为当前市场价Bear 卖空者，看跌者：与Bull正相反Bear Covering 结束空头部位Bear Market 空头市场，熊市：价格普遍下跌的市场Bear Position 空头部位：已卖出期货，期望以后能以较低价买进，利润为现在卖出与以后补进价之差额Best Orders 最佳买卖订单（Buing/Selling "at Best"）Bid 买方出价Bond 债券Bottom 底价：某时间段内的最低价Borrowing 借入（Borrowing metal from the market）：买进近期货的同时，卖出远期货Break 暴跌，暴升，突破：价格出现较大波动Broker 经纪行，经纪人Bull 买空者，看涨者：与Bear相反Bull Market 多头市场，牛市：价格普遍上涨的市场Bull Position 多头部位：已买进期货，期望以后能以较高价卖出，其利润为现在买进与以后卖出价之差额Business Day 交易日Buying Hedge （Long Hedge）买进套期保值Buy In 补进：平仓、对冲或关闭一个空头部位Buy on Close 收市买进：在收市时按收市价买进Buy on Opening 开市买进：在开市时按开市价买进Call Option 看涨期权,延买期权:允许购买者按一特定的基价购买一种指定期货合约的权力。
期货期权术语中英文对照
期货期权术语中英文对照一、期货1 Futures market 期货市场2 Futures contract 期货合约3 Financial futures 金融期货4 Commodity futures 商品期货5 Financial futures contract 金融期货合约6 Currency futures contract 货币期货合约7 Interest rate futures contract 利率期货合约8 Stock index futures contract 股票指数期货合约9 Financial forward contract 金融远期合约10 Clearing house 清算所11 Initial margins 初始保证金12 Settlement 交割13 Short seller 卖空者14 The Gilts 金边债券15 Futures delivery 期货交割16 Futures transaction 期货交易17 Hedging mechanism 规避机制18 Market expectation 市场预期19 To defuse(attempted monopoly positions) 冲破（形成的市场垄断状况）20 Net settlement status 净结算状况，净结算头寸21 Synthetic financial futures position 综合金融期货头寸22 Status inquiry 信用状况调查23 Stock indexes 股票指数24 Stock index futures 股票指数期货25 Currency futures 外币期货26 Distant futures 远期期货27 Nearby futures 近期期货28 On a discount basis 以折价形式29 A long position 多头部位，利多形势30 A short position 空头部位，短缺头寸31 Short purchase 买空，空头补进32 Shifting risk 转嫁风险，转移风险33 Basis risk 基差风险34 Converge 集聚（期货和现货价格）35 Swing 变动（幅度），摆动，涨跌36 Cross hedge 交叉套做37 Volatile 易变的，不稳定的38 Volatile market 不稳定的市场行情39 Margin money 预收保证金，开设信用证保证金40 position 头寸，交易部位，部位41 Long position 多头寸，买进的期货合同42 Short position 空头43 Exchange position 外汇头寸，外汇动态44 Interest position 利率头寸45 Swap position 调期汇率头寸46 Square position 差额轧平（未抵冲的外汇买卖余额的轧平状况）47 Brokerage firm 经纪商（号）48 Security bond 保付单49 Post 登记总帐，过帐50 Brokerage 经纪业，付给经纪人的佣金51 FX futures contract 外汇期货合约52 Foreign currency futures 外汇期货53 Futures price 期货价格54 Go long 入金，多头55 Total FX portfolio 外汇投资总额56 A long position 多头寸，买进的期货合约57 Go short 短缺，卖空，空头58 A short position 空头，卖出的期货合约59 Place an order 订购，下单60 Trading pit 交易场61 Open outcry 公开喊价，公开叫价62 Floor broker 场内经纪人63 Transactions costs 交易费用64 Zero-sum game 零和竞争（游戏）65 Current futures price 现时的期货价格66 The open interest 未结清权益67 Building agreement 具有约束力的协定68 Pay up 付清，缴清69 In force （法律上的）有效的70 Kill a bet 终止赌博71 Settlement price 结算价格72 Date of delivery 交割期73 Point of delivery 交割地点74 Futures commission merchants 期货经纪公司75 Market order 市价订单76 Time order 限时订单77 Opening order 开市价订单78 Closing order 收市价订单79 Basis order 基差订单80 Corners 垄断81 Outright position 单笔头寸82 Direct hedging 直接套做83 Indirect hedging 间接套做84 Short hedging 空头套做85 Long arbitrage 多头套做86 Back spreads 反套利87 Margin call 保证金统治88 Price discovery 价格发现二、期权1 Option 期权，选择权，买卖期权2 Call and put options 买入期权和卖出期权3 Option buyer 期权的买方4 Option seller 期权的卖方5 Underlying securities 标的证券6 Exercise price, striking price 履约价格，认购价格7 Option fee =option premium or premium on option 期权费8 Intrinsic value 实际价值，内部价值9 Intrinsic utility 内在效用10 Arbitrage opportunity 套价机会11 Arbitrage 套购，套利，套汇12 Arbitrage of exchange or stock 套汇或套股13 Speculation on foreign exchange 外汇投机14 Speculation in stock 股票投机15 To be hedging 进行套期保值16 A put option on a debt security 债务证券的卖出期权17 Call options on an equity 权益（证券）的买入期权18 Cover 弥补，补进（卖完的商品等）19 Write 签发，签署，承保，编写20 Margin call 追加保证金的通知21 Close out 平仓，结清（帐）22 Notional sum 名义金额23 Notional principal 名义本金24 Equity portfolio 股票资产25 Predetermined 预先约定的26 Strike price 协定价格27 Put (option) 卖方期权，看跌期权28 Call (option) 买方期权，看涨期权29 Open market 公开市场30 Premium 期权费31 Downside 下降趋势32 Open-ended 开口的，无限制的，无限度的33 Out-of-the-money 无内在价值的期权34 In-the-money 有内在价值的期权35 At-the-money 平值期权36 Crop up(out) 出现，呈现37 Cap 带利率上限的期权38 Floor 带利率下限的期权39 Floor trader 交易员40 Break-even 不亏不盈，收支相抵41 Asymmetry 不对称42 Symmetry 对称43 Sell forward 远期卖出44 Up-front fee 预付费用，先期费用45 Change hands 交换，换手46 Contractual value 合同价格47 Over-the-counter 场外的，不同过交易所的48 Customize 按顾客要求制作49 Futures margin 期货保证金50 Initial margin 初始保证金51 Open position 头寸52 Maintenance margin 最低保证金，维持保证金53 Variation margin 盈亏保证金，变动保证54 Market makers 造市者55 Extrinsic value 外在价值56 Contracts of difference 差异合约57 Market-clearing 市场结算58 Adaptive expectations 适应性预期59 Bid-ask spread 递盘虚盘差价60 Small-order automatic system 小额定单执行系统61 Dealers 批发商62 Dual trading 双重交易63 Mature liquid contracts 到期合约64 Backwardation 现货溢价65 Nearby contract 近期合约66 Short-lived securities 短期有效证券67 Cash-and-carry arbitrage 现货持有套利68 Open positions 敞口头寸69 Uncovered interest arbitrage 未担保利率套利70 Premium 期权权利金71 Call-options 认购期权72 Put-options 认沽期权73 Speculation 投机74 Cross hedging 交叉保值75 Hedging risk 套期保值风险76 Synthetic options 合成期权77 Option purchase price 期权的购进价格78 Options on futures contract 期货合同的期权交易79 Forward swap 远期掉期80 Swap rate 掉期率81 Risk transformation 风险转移82 Contract size 合约容量83 Daily limit 每日涨跌停板84 Double option 双向期权三、市场1 Physical trading现货交易2 Arbitrage 市场间套利3 Basis Price/ Strike Price 基本价格，履约价格4 Bear 卖空者，看跌者5 Bear market 空头市场，熊市6 Bull market7 Bottom 底价：某时间段内的最低价8 Peak 高价：某时间段的最高价9 Business day 交易日10 Primary market 初级市场11 Secondary market 二级市场12 Principal 委托人，货主本人13 Profit Taking 获利回吐14 Prompt 即付15 Rally 回升16 Range 波幅17 Recovery 复苏18 Depression 萧条19 Scalp 小投机，日内多次交易20 Security deposit 保证金21 Session 交易时段22 Settlement price 结算价格23 Short hedge 卖出套期保值24 Long Hedge 买入套期保值25 Speculator 投机者26 Spot 现货27 Spread 价差：两个相关市场之间或相关商品之间的价格差异28 Switching转月：由一个期货合约转为另一个期货合约29 Technical analysis 技术分析法30 Tick size 最小价位31 Time value 时间价值32 Turnover/Volume 交易量33 Variation margin价格变动保证金34 Warehouse receipt 仓单35 American-style options 美式期权36 European-style options 欧式期权37 Arbitration 仲裁38 Assignment 转让39 Average daily volume 平均每日交易量40 Board of trade 交易委员会41 Breakeven 平衡点（收支相抵）42 Brokerage/Commission 佣金43 Brokerage house 经纪行44 Buy to close 买进平仓45 Buy to open 买入建仓46 Canceling order 取消订单47 Clearing fee 结算费48 Close 收盘、收市49 Closing price 收盘价50 Coupon 票面利率51 Customer margin 客户保证金52 Daily trading limits 日交易限制53 Day trader 当日交易者54 Deferred 延期55 Delivery 交割，交收56 Delivery month 交割月57 Delivery points 交割点58 Equilibrium price 均衡价格59 Exhaustion gap 消耗缺口60 Expanded trading hours 延迟交易时间61 Expiration 到期，截止期限62 Federal funds rate 联邦基金利率63 Financial instrument 金融工具64 Floor trader 场内交易员65 Gross domestic product (GDP) 国内生产总值66 High limit 涨停价67 Historical volatility 历史波幅68 Index 指数69 Initial margin 原始保证金70 Intrinsic value 内在价值71 Introducing broker (IB) 中介经纪商72 Lagging indicators 滞后指标73 Last trading day 最后交易日74 Lead month 最近合约月75 Leading indicators 领先指标76 Leverage 杠杆作用77 Limit order 限价委托单78 Liquid 流动性79 Liquidate 平仓，斩仓80 Mark-to-market 逐日结算81 Market order 市价委托单82 Market segment 市场划分83 Market value 市场价值84 Matched trade 配对交易85 Maturity 到期期间86 Notice day 通知日87 Position limit 持仓限额88 Purchasing power 购买力89 Quotation 报价90 Reference price 参考价格91 Resistance line 阻力线92 Retracement 背离93 Support line支撑线94 Symbol 符号95 Target price 目标价格96 Trade balance 贸易收支97 Treasury bill 美国短期国债98 Variable limit 可变限度99 Writer 期权卖家100 Yield 收益率101 Yield curve 收益率曲线102 Yield to maturity 到期收益率。
股票指数期货市场外文翻译文献
股票指数期货市场外文翻译文献(文档含英文原文和中文翻译)原文:Transmission of Stock Returns and Volatility Between the U.S. and Japan: Evidence from the Stock Index Futures MarketsMING-SHIUN PAN and L. PAUL HSUEH一Abstract.In this paper, we examine the nature of transmission of stock returns and volatility between the U.S. and Japanese stock markets using futures prices on the S&P 500 and Nikkei 225 stock indexes. We use stock index futures prices to mitigate the stale quote problem found in the spot index prices and to obtain more robust results. By employing a two-step GARCH approach, we find that there are unidirectional contemporaneous return and volatility spillovers from the U.S. to Japan. Furthermore, the U.S.’s influence on Japan in returns is approximatel y four times as large as the other way around. Finally, our results show no significant lagged spillover effects in both returns and volatility from the Osaka market to the Chicago market, while a significant lagged volatility spillover is observed from the U.S. to Japan.二IntroductionThe economies of different countries are unavoidably interwoven through international trade and investment. It is therefore common belief that movements of stock prices across countries are correlated. Numerous studies have focused on this cross-border interdependence by examiningthe nature of international transmission of stock returns and volatility. Errunza and Losq (1985), Eun and Shim (1989), and von Furstenberg and Jeon (1989) investigate the dynamics of international stock price movements, and find significant cross-country interactions. The results from these studies also indicate an important role played by the U.S. market in influencing other national markets.Since the information transmission between markets might be related through not only mean returns but also volatility (Ross, 1989), recent studies (e.g., Hamao, Masulis, and Ng (1990), King andWadhwani (1990), Theodossiou and Lee (1993), Bae and Karolyi (1994), and Susmel and Engle (1994), among others) have a focus on volatility spillovers for examining information transmission across national boundaries. In general, empirical evidence suggests that volatility of stock returns is time-varying. Furthermore, significant mean and volatility spillovers are found 212 MING-SHIUN PAN AND L. PAUL HSUEH from the U.S. market to other national stock markets.Many studies, however, have also documented a time-varying spillover effect. For instance, Bae and Karolyi (1994) provide results showing weaker volatility spillover effects between the U.S. and Japan after the October 1987 crash.Lin, Engle, and Ito (1994) also investigate spillover effects in return and volatility between the New York and Tokyo stock markets. In contrast toprevious empirical evidence, they find little support for lagged returns spillovers from New York daytime to Tokyo daytime or vice versa, suggesting that the domestic market adjusts efficiently to foreign information.Lin et al. (1994) attribute their findings partly to the fact that previous studies may have suffered from the nonsynchronous trading or stale quote problem at market openings, which is inherent in stock market indexes. The nonsynchronous trading problem arises when some of the component stocks in a stock index have delay in trading after the market opens. It is well known that nonsynchronous trading in individual securities can induce positive autocorrelation at the index level (Scholes andWilliams, 1977). To attenuate this problem, Lin et al. (1994) use stock price indexes 30 and 15 minutes after the market opening in New York and Tokyo, respectively. Although the use of delayed price indexes might mitigate the stalequote problem, it could well dilute the transmission effect from overseas markets. Specifically, Becker, Finnerty, and Tucker (1992) and Susmel and Engle (1994) document that spillover effects are quickly assimilated within the first hour trading.As a result, their finding suggests that stocks which traded at the open would have already incorporated information from overseas markets, and hence the price indexes 30 minutes into the trading likely reflect not only overseas information but also domestic information.In this study, we propose the use of stock index futures prices in examining the nature of transmission of stock returns and volatility between the U.S. and Japanese markets.1 The use of stock index futures prices has several obvious advantages.First, since the staleness problem for a stock index is mainly due to the nonsynchronous trading of its component stocks, nonsynchronous trading should be much less of a problem in index futures. For example, Boudoukh, Richardson, and Whitelaw (1994) document that serial correlations of stock index returns are significantly higher than those of index futures returns. In addition, they find that the autocorrelations for stock index futures returns are insignificantly different from zero, suggesting that the use of stock index futures prices can provide acleaner test of international transmission of stock returns and volatility. Secondly, a number of studies (e.g., Stoll and Whaley, 1990; Chan, 1992; Kawaller, Koch, and Koch, 1993) have shown that price discovery takes place in stock index futures prices instead of the underlying spot indexes. Furthermore, Chan (1992) provides evidence showing that stock index futures lead the underlying spot indexes, and demonstrates that this lead-lag effect is not caused by nonsynchronous trading in the spot index. Thus, the use of stock index futures prices in investigating information transmission between national markets should better capture the characteristics of interactions.The rest of the paper is organized as follows. In Section 2, we describe the intradaily stock index futures price data used in this study and present the empirical models. Section 3 reports the empirical findings on return and volatility spillover effects between the U.S. and Japanese markets. The final section concludes the paper.三Data and Empirical DesignTo examine the transmission of stock returns and volatility between the U.S. and Japanese markets, we use the S&P 500 stock index futures contracts traded at the Chicago Mercantile Exchange (CME) and the Nikkei 225 stock index futures contracts traded at the Osaka Securities Exchange (OSE).2 Daily opening and closing futures prices on the S&P 500 and Nikkei 225 stock indexes for the period of January 3, 1989 through December 30, 1993 are used. The data are obtained from Futures Industry Institute.Both the S&P 500 and Nikkei 225 stock index futures contracts have a cycle of contract maturities of March, June, September, and December. To obtain a long time-series data, only the 3-month data before expiration months are used. Due to different holidays, the data from the two markets are not synchronous, we thus delete the observations when the data are missing for any one of the two markets.3Figure 1 depicts market trading hours for the two markets. Returns on the stock index futures are calculated as the difference in the logarithmsn offutures prices multiplied by 100. We further divide daily index futures returns (close-to-close) into daytime returns (open-to-close) and overnight returns (previous close-to-open). Thus, daily close-to-close returns on the S&P 500 (SPt ) and Nikkei 225 (NKt ) on the two stock index futures can be expressed as follows:Rt= RNt + RDtwhere (Rt, RNt , RDt ) 2 f(SPt , SPNt , SPDt ), (NKt , NKNt , NKDt )g and the notations are defined as in Figure 1. It is noticed that the two markets do not have overlapping trading time and also the daytime segment of each market is a subset of overnight segment of the other market. Therefore, it is reasonable to expect that what happened during the daytime trading in one market becomes important‘overnight’ news to the other market.Table I also sh ows serial correlations between each market’s daytime and overnight returns. The insignificant and negative serial correlationbetween the S&P daytime and overnight returns (−0.049) suggests that the nonsynchronous trading problem is negligible. Also, this negative serial correlation is likely caused by bid-ask spreads (Stoll and Whaley, 1990). Similar insignificant serial correlation between daytime and overnight returns for the Nikkei 225 index futures is also documented.四ConclusionsIn this sudy, we examine the nature of transmission of stock returns and volatility Between the U.S. and Japanese markets using futures prices on the S&P500 and Nikkei 225 stock indexes. The use of stock index futures prices mitigates the stale Quote problem in the spot price indexes at the market open and allows us to obtain Cleaner tests and more robust results.We employ at wo-step GARCH approach to examine the mean return and volaTility spillovers between the Chicago and Osakamarkets. Ourresults show anUnidirectional contemporaneous return spillover from the U.S . to Japan, and the U.S.’s influence on Japan is about four times as large as the other way around. Furthermore, we find that the volatility in the Chicago market has an impact on the V olatility in the Osaka market . Also, there are significant lagged spillover effects in Both returns and volatility from the Osaka market to the Chicago market, while a significant volatility spillover is observed from the U.S. to Japan. Finally, negative innovations from foreign market shavea stronger lagged spillover effectthan positive hocks .In short, it appears that the spillover effects documented in the current study based on the stock index futures data are stronger than those report ed in Lin et al.(1994), in which spot indexes are used.译文：基于美国和日本股票收益的传播性和波动性来研究股票指数期货市场一、引言本文我们将运用S&P500和日经225指数来检验美国和日本股票市场之间收益和波动性的自然传递。
期货术语中英文对照之欧阳科创编
期货术语中英文对照期货中国时间：2010-01-28 18:01:13 来源：期货中国期货中国网-股指期货/商品期货投资自由之路Actuals 现货（LME普遍使用physical）Arbitrage 市场间套利Assay 检验分析Ask 要价，喊价At-the-Money 相等价值：期权履约价与当前期权期货合约的现价完全相同Backpricing 有效时间定价：生产者常用LME 结算价作为报价基准, 每天公布的结算价到次日中午有效。
又称公认定价(Pricing on the Known)Backwardation 现货升水：现货价高于期货价（又称Back），是为逆向市场、倒价市场Base Metal 贱金属，基金属：除金、银、铂族以外的金属Bar Chart 条形图Basis 基差：同一种商品现货价与期货价之差Basis Price 基本价格，履约价格：期权交易中买卖双方商定，并按此进行交易的价格。
又称敲定价格（Strik Price），通常为当前市场价Bear 卖空者，看跌者：与Bull正相反Bear Covering 结束空头部位Bear Market 空头市场，熊市：价格普遍下跌的市场Bear Position 空头部位：已卖出期货，期望以后能以较低价买进，利润为现在卖出与以后补进价之差额Best Orders 最佳买卖订单（Buing/Selling at Best）Bid 买方出价Bond 债券Bottom 底价：某时间段内的最低价Borrowing 借入（Borrowing metal from the market）：买进近期货的同时，卖出远期货Break 暴跌，暴升，突破：价格出现较大波动Broker 经纪行，经纪人Bull 买空者，看涨者：与Bear相反Bull Market 多头市场，牛市：价格普遍上涨的市场Bull Position 多头部位：已买进期货，期望以后能以较高价卖出，其利润为现在买进与以后卖出价之差额Business Day 交易日Buying Hedge （Long Hedge）买进套期保值Buy In 补进：平仓、对冲或关闭一个空头部位Buy on Close 收市买进：在收市时按收市价买进Buy on Opening 开市买进：在开市时按开市价买进Call Option 看涨期权,延买期权:允许购买者按一特定的基价购买一种指定期货合约的权力。
期货期权术语中英文对照
期货期权术语中英文对照期货Futures market 期货市场 Futures contract 期货合约 Financial futures 金融期货 Commodity futures 商品期货 Financial futures contract 金融期货合约 Currency futures contract 货币期货合约 Interest rate futures contract 利率期货合约 Stock index futures contract 股票指数期货合约 Financial forward contract 金融远期合约 Clearing house 清算所 Initial margins 初始保证金 Settlement 交割 Short seller 卖空者 The Gilts 金边债券 Futures delivery 期货交割 Futures transaction 期货交易 Hedging mechanism 规避机制 Market expectation 市场预期 To defuse （attempted monopoly positions ） 冲破（形成的市场垄断状况） Net settlement status 净结算状况，净结算头寸 Synthetic financial futures position 综合金融期货头寸 Status inquiry 信用状况调查 Stock indexes 股票指数 Stock index futures 股票指数期货 Currency futures 外币期货 Distant futures 远期期货 Nearby futures 近期期货 On a discount basis 以折价形式 A long position 多头部位，利多形势 A short position 空头部位，短缺头寸 Short purchase 买空，空头补进 Shifting risk 转嫁风险，转移风险 Basis risk 基差风险 Converge 集聚（期货和现货价格）Swing 变动（幅度） ，摆动，涨跌Cross hedge 交叉套做Volatile 易变的，不稳定的Volatile market 不稳定的市场行情Margin money 预收保证金，开设信用证保证金 position 头寸，交易部位，部位 Long position 多头寸，买进的期货合同123456789101112131415161718192021222324252627282930313233343536373839404142Short position 空头Exchange position 夕卜汇头寸，外汇动态 Interest position 禾U 率头寸Swap position 调期汇率头寸Square position 差额轧平（未抵冲的外汇买卖余额的轧平状况） Brokerage firm 经纪商（号）Security bond 保付单Post 登记总帐，过帐Brokerage 经纪业，付给经纪人的佣金FX futures contract 外汇期货合约Foreign currency futures 夕卜汇期货Futures price 期货价格Go long 入金，多头 Total FX portfolio 外汇投资总额A long position 多头寸，买进的期货合约Go short 短缺，卖空，空头A short position 空头，卖出的期货合约Place an order 订购，下单Trading pit 交易场Open outcry 公开喊价，公开叫价Floor broker 场内经纪人Transactions costs 交易费用Zero-sum game 零和竞争（游戏）Current futures price 现时的期货价格 The open interest 未结清权益Building agreement 具有约束力的协定Pay up 付清，缴清In force （法律上的）有效的Kill a bet 终止赌博Settlement price 结算价格Date of delivery 交割期Point of delivery 交割地点Futures commissi on mercha nts 期货经纪公司Market order 市价订单Time order 限时订单 Opening order 开市价订单Closing order 收市价订单Basis order 基差订单Corners 垄断Outright positi on 单笔头寸Direct hedging 直接套做In direct hedgi ng 间接套做Short hedging 空头套做Long arbitrage 多头套做4344 45 46 47 48 49 50 51 52 53 54 5556 57 58 59 60 61 62 63 64 65 66 6768 69 70 71 72 73 74 75 76 77 78 7980 81 82 83 84 85 86 87Back spreads 反套禾U Margin call保证金统治88 Price discovery 价格发现二、期权1 Option期权，选择权，买卖期权2 Call and put options 买入期权和卖出期权3 Option buyer期权的买方4 Option seller期权的卖方5 Underlying securities 标的证券6 Exercise price, striking price 履约价格，认购价格7 Opti on fee =opti on premium or premium on opti on 期权费8 Intrinsic value实际价值，内部价值9 Intrin sic utility 内在效用10 Arbitrage opportu nity 套价机会11 Arbitrage套购，套利，套汇12 Arbitrage of exchange or stock 套汇或套股13 Speculation on foreign exchange 夕卜汇投机14 Speculation in stock 股票投机15 To be hedgi ng进行套期保值16 A put option on a debt security 债务证券的卖出期权17 Call options on an equity 权益(证券)的买入期权18 Cover弥补，补进(卖完的商品等)19 Write签发，签署，承保，编写20 Margin call追加保证金的通知21 Close out平仓，结清(帐)22 Notional sum 名义金额23 Notio nal prin cipal 名义本金24 Equity portfolio 股票资产25 Predetermined预先约定的26 Strike price 协定价格27 Put (option)卖方期权，看跌期权28 Call (option)买方期权，看涨期权29 Open market公开市场30 Premium期权费31 Downside下降趋势32 Open-ended开口的，无限制的，无限度的33 Out-of-the-mo ney无内在价值的期权34 In-the-money有内在价值的期权35 At-the-money 平值期权36 Crop up(out)出现，呈现37 Cap带利率上限的期权38 Floor带利率下限的期权39 Floor trader 交易员40 Break-eve n不亏不盈，收支相抵41 Asymmetry 不对称42 Symmetry 对称Sell forward 远期卖出 Up-front fee 预付费用，先期费用 Change hands 交换，换手 Contractual value 合同价格 Over-the-counter 场外的，不同过交易所的 Customize 按顾客要求制作 Futures margin 期货保证金 Initial margin 初始保证金 Open position 头寸 Maintenance margin 最低保证金，维持保证金 Variation margin 盈亏保证金，变动保证 Market makers 造市者 Extrinsic value 夕卜在价值 Con tracts of differe nee 差异合约 Market-clearing 市场结算 Adaptive expectations 适应性预期 Bid-ask spread 递盘虚盘差价 Small-order automatic system 小额定单执行系统 Dealers 批发商 Dual trading 双重交易 Mature liquid con tracts 到期合约 Backwardation 现货溢价 Nearby con tract 近期合约 Short-lived securities 短期有效证券 Cash-and-carry arbitrage 现货持有套禾U Open positions 敞口头寸 Un covered in terest arbitrage 未担保利率套禾 U Premium 期权权利金 Call-options 认购期权 Put-options 认沽期权 Speculation 投机 Cross hedgi ng 交叉保值 Hedging risk 套期保值风险 Synthetic options 合成期权 Option purchase price 期权的购进价格 Optio ns on futures con tract 期货合同的期权交易 Forward swap 远期掉期 Swap rate 掉期率 Risk transformation 风险转移 Co ntract size 合约容量 Daily limit 每日涨跌停板 Double option 双向期权 434445464748495051525354555657585960616263646566676869707172737475767778798081828384三、市场1 Physical trading 现货交易2 Arbitrage市场间套利3 Basis Price/ Strike Price基本价格，履约价格4 Bear卖空者，看跌者5 Bear market空头市场，熊市6 Bull market7 Bottom底价：某时间段内的最低价8 Peak 高价：某时间段的最高价9 Busin ess day 交易日10 Primary market 初级市场11 Secondary market 二级市场12 Principal委托人，货主本人13 Profit Tak ing 获利回吐14 Prompt 即付15 Rally 回升16 Ra nge 波幅17 Recovery 复苏18 Depressi on 萧条19 Scalp小投机，日内多次交易20 Security deposit 保证金21 Session 交易时段22 Settlement price 结算价格23 Short hedge卖出套期保值24 Long Hedge 买入套期保值25 Speculator 投机者26 Spot现货27 Spread价差：两个相关市场之间或相关商品之间的价格差异28 Switching转月：由一个期货合约转为另一个期货合约29 Tech nical an alysis 技术分析法30 Tick size最小价位31 Time value时间价值32 Turnover/Volume 交易量33 Variation margin价格变动保证金34 Warehouse receipt 仓单35 American-style options 美式期权36 European-style options 欧式期权37 Arbitration 仲裁38 Assignment 转让39 Average daily volume平均每日交易量40 Board of trade交易委员会41 Breakeve n平衡点（收支相抵）42 Brokerage/Commission 佣金43 Brokerage house 经纪行Buy to close 买进平仓 Buy to open 买入建仓 Canceling order 取消订单 Clearing fee 结算费 Close 收盘、收市 Closing price 收盘价 Coupon 票面利率 Customer margin 客户保证金 Daily tradi ng limits 日交易限制 Day trader 当日交易者 Deferred 延期 Delivery 交割，交收 Delivery month 交割月 Delivery points 交割点 Equilibrium price 均衡价格 Exhausti on gap 消耗缺口 Expanded trading hours 延迟交易时间 Expiration 到期，截止期限 Federal funds rate 联邦基金利率 Financial instrument 金融工具 Floor trader 场内交易员 Gross domestic product (GDP)国内生产总值 High limit 涨停价 Historical volatility 历史波幅 Index 指数 Initial margin 原始保证金 Intrinsic value 内在价值 In troduci ng broker (IB)中介经纪商 Lagging indicators 滞后指标 Last tradi ng day 最后交易日 Lead month 最近合约月 Leading indicators 领先指标 Leverage 杠杆作用 Limit order 限价委托单 Liquid 流动性 Liquidate 平仓，斩仓 Mark-to-market 逐日结算 Market order 市价委托单 Market segment 市场划分 Market value 市场价值 Matched trade 配对交易 Maturity 到期期间 Notice day 通知日 444546474849505152535455565758596061626364656667686970717273747576777879808182838485868788Position limit 持仓限额Purchasing power 购买力欢迎下载11 Quotation 报价 Refere nee price 参考价格 Resista nee line 阻力线 Retraeement 背离 Support line 支撑线 Symbol 符号 Target price 目标价格 Trade bala nee 贸易收支 Treasury bill 美国短期国债 Variable limit 可变限度 Writer 期权卖家 Yield 收益率 Yield curve 收益率曲线 Yield to maturity 到期收益率 89 90 91 92 93 94 95 96 97 98 99 100 101 102。
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股指期货中英文对照外文翻译文献(文档含英文原文和中文翻译)股指期货最佳套期保值策略实证分析股票指数期货，是一种以股票价格指数作为标的物的金融期货合约，是一种金融衍生工具，通过做空股指期货，可以达到规避风险和锁定收益的目的。
现状：自2006年中国股市一路飘升，充分活跃了股票市场，掀起股市投资的热潮，与此同时，也加重了市场上的投机因素和市场的动荡。
此时，推出股票指数期货的现实意义自然极为重要。
中国证券业监管部门于2010年4月16日批准位于上海的中国金融期货交易所推出股指期货交易，这是中国走向市场经济的一个具有历史性意义的里程碑。
4月16日我国首批四个沪深300指数期货合约在中国金融期货交易所正式挂牌交易，这标志着我国正式推出了股指期货。
推出股指期货后，风险低、收益率稳定的股指期货套利将会成为投资者追逐的热点.沪深300指数期货采用标准化的合约，合约的主要内容和规定，见表1-1:表1-1 沪深300指数期货产品合约表截至12月22日，共167个交易日，沪深300股指期货累计成交4432万手。
累计成交金额39.6万亿元。
日均成交量近26.5万手日均成交金额2371亿元，历史最高成交量为7月15日474780手，总体来看，市场交投比较活跃，流动性较好，报价连续，成交迅速。
（申银万国期货股指期货年度报告）如下表所示：图1-1股指期货成交量与持仓量来源：申银万国证券股指期货年度分析由表可知，交易量如此之大，显然，股指期货已经成为中国投资者的宠儿。
它在套期保值中所起到的效果，是无可比拟的。
股指期货套期保值的原理：股指期货之所以具有套期保值的功能，是因为在一般情况下，股指期货的价格与股票现货的价格受相近因素的影响，它们的变动方向是一致的，因此，投资者只要在股指期货市场上建立与股票现货市场相反的持仓，通过计算适当的套期保值比率可以达到亏损与获利的大致平衡，从而实现套期保值的目的。
其基本原理有以下两个方面。
原理一:同一股票指数的期货价格走势与现货价格走势基本一致。
原理二:股指期货的交割采用标的股票指数价格进行现金交割，那么到期日股指期货价格与标的股票指数就会完全相同。
基于以上的原理，投资者通过在股票市场和股指期货市场分别进行相反的操作，以期在未来的时间内通过一个市场的亏损，弥补另一个市场的盈利，达到锁定价格，避免风险的目的。
套期保值的种类：套期保值的策略主要有多头套期保值、空头套期保值和交叉保值。
多头套期保值是指在投资者预期股票市场将要上涨，但买入股票的资金暂时还没有到位，因此投资者也可以通过股指期货的保证金的杠杆作用，利用较少的资金先在期货市场上建立多头头寸来套期保值，锁定买入成本。
避免在资金没有到位这段时间，股票价格变动带来的风险。
空头套期保值是指投资者预测目前股市的估值水平偏高，可能有下跌的风险，投资者持有的投资组合也会随着股指下跌。
同时投资对股票长线有信心，不愿意将股票抛出。
投资者通过在期货市场配臵与现货市场多头相反的空头头寸，以期通过期货市场的空头收益来弥补现货市场的多头亏损。
交叉套期保值是指当进行保值的现货资产与期货合约标的资产不完全相同时，就引入了交叉保值的概念。
在交叉保值中，由于选择的期货和现货价格走势并不完全一致，所以会产生交叉保值风险。
交叉保值风险不会随着交割期的临近而趋向于零。
从某种意义上说，交叉保值风险是股票组合的非系统性风险。
这时需要引入投资组合β值，将投资组合的收益率和股指的收益率关联起来股指期货套期保值的功能：股指期货通常具有价格发现、规避风险及投资三大功能，而规避风险是期货交易的最主要功能。
股指期货的作用中最重要的是规避风险，也就是风险的对冲，即套期保值，具体指通过利用股指期货和指数现货的反向操作，使得股指期货的收益（损失）与指数现货的损失（收益）相互对冲，从而规避市场的系统波动风险，实现资产的套期保值。
我们以股指期货空头套期保值为例：2010年3月1日，沪深300指数现货报价为3324点，在仿真交易市场，2010年9月到期（9月17日到期）的沪深300股指期货合约报价为3400点，某投资者持有价值为1亿元人民币的市场组合，为防范在9月18日之前出现系统性风险，可卖出9月份沪深300指数期货进行保值。
如果该投资者做空100张9月到期合约 [10000000/（3324×300）≈100]，则到9月17日收盘时：现货头寸价值=1亿元×9月17日现货收盘价/3月1日现货报价期货头寸盈亏=300元×（9月17日期货结算价﹣3月1日期货报价）×做空合约张数，在不同的指数点位下，头寸变化如下表所示：表1-2 沪深300股指期货套期保值由表可知，经过空头套期保值后，不论2010年9月沪深300指数如何变化，该投资者的账户总值基本维持不变。
如果有投资者拥有较多资金欲投资于股票现货，又担心建仓期内大盘出现非预期大幅度上涨导致成本过高，也可以采用多头套期保值，即在期货上建立相应多头头寸，利用期货盈余抵消现货成本上升的风险。
在现实中，投资者还可以利用投资组合的β系数对股指期货的头寸进行研究。
套期保值比率的引入：在套期保值交易中，套期保值者对套期保值比率(hedge ratio)的选择，关系着整个套期保值的效果，关于股指期货套期保值的文献中，学者关注最多的问题就是如何估计套期保值比率。
其中大多数都以最小方差理论为基础，运用最小二乘估计方法来估计最优套期保值比率。
要取得理想的套期保值效果，关键在于套期保值率的计算。
套期保值率的计算也一直是金融工程研究的重点，国内外都对此有所研究。
从传统的套期保值理论到现代套期保值理论取得了很大的发展，其中OLS模型是一种简单而有效的计算方法，把套期保值看作投资者选择现货和期货的投资组合来降低组合的风险。
假定投资者是绝对的风险厌恶者，其保值的目的是将风险最小化，由此得到最小方差下的套期保值比率。
通过使用现货价格和期货价格的历史数据，作简单的回归分析即可求得结论：股指期货之所以具有套期保值的功能，是因为在一般情况下，股指期货的价格与股票现货的价格受相近因素的影响，从而它们的变动方向是一致的。
因此，投资者只要在股指期货市场建立与股票现货市场相反的持仓，则在市场价格发生变化时，他必然会在一个市场上获利而在另一个市场上亏损。
通过计算适当的套期保值比率可以达到亏损与获利的大致平衡，从而实现保值的目的。
而通过计算β系数可以对套期保值的头寸进行修正。
同时，通过OLS模型计算最优套期保值比率h来测算出最优套期保值规模，这样使投资者取得利润最大化。
引入期货合约的p值的保值效果，要比没有期货合约的p值的保值效果更好，引入期货合约的p值有对最佳套期比率进行修正，在实证中取得了良好的效果，投资组合的套期保值效果大大的提高了。
股指期货推出后，投资者对指数走势有不同预期、对风险有不同的认知和承受力、对成份股现金分红有不同估测，并且T+0的交易机制下短时间内获利机会反复出现也会影响投机心理，这些因素反映到期货交易中就会导致期货的实际价格与其理论价格出现偏离，形成套利机会。
沪深300指数期货在仿真交易期间存在着大量的套利机会，收益率也很丰厚。
本文认为在我国推出股指期货的初期，会涌现大量的套利机会，随着股指期货市场的不断成熟，套利机会会逐渐的减少。
The Empirical Analysis of the best Hedging Strategy ofStock Index FutureStocks index Futures，a stock Price index as a subject of Financial futures contracts ,is a kind of derivative financial instruments(Financial Derivative Instrument)，by Putting stock index futures on a fall to reach the goal of avoiding risk and locking yield.General situation:Since 2006, China’s stock market has kept soaring, which fully activated the stock market, set off upsurge of investment in the stock market, while it also increased speculation factors and turbulence on the market .At this time, the introduction of stock index futures certainly has an important realistic significance.China's securities regulator on April, 16th approved Shanghai-based China Financial Futures Exchange (CFFEX) to undertake stock index futures trade .It means China passed an historic milestone on the path to a market-driven economy.In China ,the first four HS300 Stock index futures contract was listing in the Financial Future Exchange on April 16，and it marked that China launched the stock index future officially. After the introduction of stock index，arbitrage with low risk and stable return will be pursued by investors .HS300 stock index futures take standardized contract,the main content and principles are as follows:Table1-1 The Contract Table of HS300 Stock Index FutureBy December 22th,there are 167 trading days,HS300 stock index futures has 44.32million contracts ,the total capital reached 39600 billion yuan.There is 0.265 million contracts everyday and the capital reached 237.1 billion yuan.In history,the biggest volume is 474780 in July 15th,we can see that the market is very active and have a fine flow. (offered by shenyin wanguo future year report),the graph is as follows: Stock Index Futures’ exchange quantity and open interestexchange quantity Open InterestWe can see that the volume is so big that stock index futures has been the focus of the investors from China.And the effect in hedging is huge. The Theory of Hedging:The reason why the stock index futures can have the function of hedging is that,at the normal circumstance,there are the same factors works in the price of the stock index futures and the price of spotmarket.They have the same trend in the direction of change,so,if only investors build a contract in the stock index futures in the future market which has a opposite direction in the spot market.We can get a balance of loss and gain through calculating a suitable hedging ratio,then we can make our purpose come true.Its theory has two mayor parts as follows: Part 1:There is a same direction in the price of futures and the price of spot market of one stock index.Part 2:If the trade of the stock index futures use the cash as the subject of the stock index futures,the price of the stock index futures will be completely the same as the stock index .Take these two principles into consideration, investors can use an opposite operation in the stock market and the stock future,in order to use the gain in the one market to make up the loss in the other market.At last we can reach the goal of avoiding risk and locking yield.The Styles of Hedging:There are three types of hedging,they are selling heding,buying hedging,and cross hedging.Buying Hedging:Investors insure that the price of stock will be stronger but they don’t have enough money,at this time,they can use the ensurance of stock index futures to build buying hedging to reach the goal of avoiding risk and locking yield.Selling Hedging:investors insure that the present price of stock isovervalued and theywill come back to normal level,so, the investors invests will be lower,but at the same time,they are confident of the long development,they won’t sell out the stock.Then,they can use selling hedging to reach the goal of avoiding risk and locking yield.Cross Hedging:When the subject of contracts of present is different from futures .It is necessary to push the concept of cross hedging.In cross hedging,the trend of present and the future are different,the risk of cross will be comeout.It is necessary to push β.To make the hedging more perfect.The Functions of the Stock Index Future:There are three main functions of stock index futures,they can decide the price, reach the goal of avoiding risk and locking yield.The most important function of stock index future is avoiding risk,that is to say the hedge of risk----hedging.To be detailedly,we can use present loss or gain to hedge the gain or loss in the future market,and then make the hedging of asset come true.We take the selling hedging of stock index future as follows:March 1st,2010,HS300 spot market opening price is 3324,September 17th 2010,HS300 the closing price stock index future is 3400,an investor has 100000000yuan,in order to invoid the system risk before September,18th 2010,they can sell out HS300 stock index future to make hedging come true.If the investor sell out 100 future contract in the month of 9 ,than [10000000/（3324×300）≈100],then we can get a closing price of September 17th:Table 1-2 Hedging of HS300 stock index futureWe can see from the table ,after selling hedging ,no matter how the index of HS300 change ,the investor’s total asset will be not change.If investor have much capital and want to put them into stock market ,but he worrys that system risk will come ,at this time, he can usebuying hedging .In reality ,investor can us e βto study the volume of stock index future.The Introduction of Hedge Ratio:At the trades of hedging ,the hedge ratio make a significantly important role in the whole effect of hedging .Considering the articles of hedging ,studies always focus on how to make out hedge ratio . Amonge them ,most of them are based on OLS ,and then make out the best hedge ratio to hedging.To gain the perfect effect of hedging ,it is a key to figure out hedge ratio .Estimation of edge ratio is always important to finance eng ineering’s research ,and home and abroad do a lot to it. From traditionary hedge theory to modern hedge theory , we make prodigious progress ,and OLS model is a easy and effective model by looking hedge as combination of goods and futures to reduce its risk; and yet hedge ratio under it .By using historical data of goods and futures’ price ,it is easy to get the result through regression analysis.Conclusion:The reason why the stock index futures can have the function of hedging is that ,at the normal circumstance ,there are the same factors works in the price of the stock index futures and the price of spot market ,hence, they have the same They have the same trend in the direction of change ,so ,if only investors build a contract in the stockindex futures in the future market which has a opposite direction in the spot market .We can get a balance of loss and gain through calculating a suitable hedging ratio ,at last ,we can make our hedge come true.When we push βinto consideration,we will find that the e ffect of hedging will be more perfect.Meanwhile,we will analysis the best hedge scope through hedge ratio,and it can be calculated through model OLS,then we will ensure that we can make the investor get the biggest profit.It is clear that it is better to push βinto calculation and the effect of hedging will be better.,especially in the empirical analysis of stock index future.With the introduction of stock index future,investors have different expections to risk and others.and it is useful for them to build a arbitrage opportunitiy.In the markrt of HS300 stock index future,we found many arbitrage opportunities,at the same time ,the income ratio is perfect.This article assume that at the beginning of the stock index future,there will be a lot of arbitrage opportunities,however,with the stock index future market becomes more and more mature,there will be less arbitrage opportunities then.。