关键词: 国际投资, 汇率风险, 套保策略, 人民币指数期货

Abstract: Multi-currency risks are involved in global investment, but traditional hedging methods with currency futures take high cost. Potential benefits of the Chinese Yuan Index (CNYX) futures as an investment and risk management vehicle are analyzed in this paper referred to US dollar index experience. Results presented in empirical experiments indicate that investment in the CNYX futures can offer comparable returns with lower risk parameters, and stronger risk bearing ability of diversified portfolios consisting of domestic and international stock and bond indices over the sample period. The CNYX futures prove to be a good investment vehicle to increase the risk-adjusted return and an effective tool to hedge foreign currency exposure for RMB-based investors. It serves as a more efficient structured product in risk mitigation compared to a basket of foreign currencies, especially in developed equity markets. Dynamic hedging strategies based on exponential weighted moving average (EWMA) model also yield some economic value. Moreover, the performance of the CNYX futures during periods of extreme movements in stock and bond indices is also investigated. It can be found that the CNYX is negatively correlated with stock indices during market extremes, which is an attractive property from a diversification perspective. The CNYX is relatively uncorrelated with bond indices in both market extremes and periods of relative calm.

Key words: global investment, foreign exchange risk, hedging strategy, CNYX index futures