| In order to implement the decision deployment on further opening up to the outside world,in accordance with the principle of "faster than slower,better sooner than later",and on the basis of further research and evaluation,the State Council’s Financial Stability and Development Commission launched a new financial industry opening up in 2019.This marks the further opening of China’s futures and spot markets.There are more and more opportunities for investors in the futures market.At the same time,the spot market is also highly complex,and it is a constantly changing dynamic system.If the relevant investors are not careful,they will face the risk of investment loss.How to avoid and diversify risks when investing in the spot market,and at the same time obtain corresponding investment returns,is an unavoidable issue for every investor.Especially for the stock index futures in China’s securities market,the listing is relatively late.For domestic investors,how to combine the development of China’s stock index futures and the spot market and use stock index futures and spot flexibly and efficiently to formulate investment portfolio,carry out risk control,and lock in expected returns are topics that must be studied in more depth.Therefore,in such an era,the proposal of the research on the application of hedging in China’s stock index futures and spot investment portfolio has important theoretical significance and practical application value.At the same time,by summarizing and sorting out relevant domestic and foreign documents,we also found that the existing documents need to be further expanded:Firstly,although the collected documents show that there are many hedging results,most of them are research on commodity futures,domestic stock index futures appeared late,and the results of systematic research on domestic stock index futures hedging are few.Secondly,the foothold of hedging is the calculation of the hedging ratio,and in order to calculate the hedging ratio,it is necessary to analyze the correlation between the data.According to the existing literature,from the perspective of hedging,study the relationship between the data,there are few literatures on this type of correlation,and the main focus is on the linear correlation level.Thirdly,in the existing hedging results,after the hedging ratio is calculated,there is no follow-up study,especially at the level of risk factors that affect the hedging effect.In view of this,combined with the research background of this paper,and on the basis of relevant studies at home and abroad,this paper conducts relevant research from the perspective of the application analysis of hedging in stock index futures and spot investment portfolio.Firstly,analyze the correlation of stock index futures and spot return rate,and then analyze the correlation of stock index futures and spot return rate,on the basis of establishing different stock index futures and spot investment portfolio hedging model,and connecting with the concrete sample data,the different stock index futures and spot investment portfolio hedging model,this paper compares and analyzes the results of looking for different parameters under the condition of suitable stock index futures and spot investment portfolio hedging model,at the same time,the risk factors of influence stock index futures and spot investment portfolio hedging effect were analyzed,finally,combined with the main contents and research conclusions of this paper,policy advices are put forward.Through the application analysis of hedging in stock index futures and spot investment portfolio,this paper is expected to provide the corresponding hedging model as a reference for Chinese investors in the stock index futures and spot investment portfolio.The main research conclusions of this paper are summarized as follows:(1)In order to analyze the correlation between stock index futures and spot return rate,the following two aspects are carried out:Firstly,in order to test the guiding relationship between the two return rates,the VAR model is established.After Granger test,it is found that the two return rates are mutually guiding.Through the impulse response test and the variance decomposition test of prediction error between the two return rates,it is found that the stock index futures return rate is more sensitive than the spot return rate in the market,and the stock index futures return rate plays a dominant role in the process of return rate guidance.Then,considering the stock index futures and spot return rate may exist the asymmetric and tail correlation characteristics,the Copula model is established,and found the tail correlation characteristics between two return rates does exist,among the Copula function model,the t-Copula function model can best fit the tail correlation between stock index futures and spot return rate,that is to say,if a return rate in extreme condition,then due to there is a correlation between the two return rates,it will cause another return rate tanked.Therefore,because of the obvious correlation between the two return rates,it is possible to carry out the opposite hedging operation in the futures market.(2)In order to calculate the hedging ratio under the objective of minimizing the variance of the return rate between the stock index futures and the spot investment portfolio by using the established multiple stock index futures and spot investment portfolio hedging models,firstly,based on the results of the unit root and ARCH effects of the sample data,it is concluded that the sample data can be used to calculate the hedging ratio under the objective of minimizing the variance of the return rate by using the established hedging model of stock index futures and spot investment portfolio.Then,combined with the specific sample data type,under the premise of minimizing the variance of return rate,the corresponding hedging ratio is calculated by using the hedging model of various stock index futures and spot investment portfolio.Finally,two indicators are used to compare the results of different hedging ratios,the conclusion is that VAR-DVECH-GARCH model has the best hedging effect in terms of the minimum variance of return rate and the maximum expected return rate,while OLS model has the worst hedging effect.Through the comparative analysis of the hedging effect of various stock index futures and spot investment portfolio hedging models,we can find that the futures contract is a good hedging tool to disperse risks,if investors can combine spot position and futures position according to certain hedge ratio,not only the risk that investors bear can be greatly reduced,but also the expected return rate can be significantly improved.(3)In order to provide early warning of hedging risk for investors when they carry out hedging operations,based on the hedging model of stock index futures and spot investment portfolio,firstly,according to the conditional variance equation of four models,ARCH,GARCH,TARCH and EGARCH,several risk factors affecting the hedging effect of stock index futures and spot investment portfolio are proposed,and then the daily return rate of stock index futures is substituted into the model,the results show that risk factor 1,risk factor 2 and risk factor 4 are all valid under different hedging time intervals,however,the conclusion of risk factor 3 in different hedging time interval is untenable.Finally,in order to further test the stability of risk factors that affect the hedging effect of stock index futures and spot investment portfolio,and to study the sensitivity of risk factors to data of different variables,the above-mentioned ARCH models are still used,this paper presents a robust test of the risk factors that affect the hedging effect of stock index futures and spot investment portfolio on the basis of the sample data of spot index daily return rate series.Through the robust test of risk factors,we can also find that risk factor 1,risk factor 2 and risk factor 4 all hold true under different hedging time interval,the conclusion of risk factor 3 is not valid in different hedging time interval.In summary,this paper focuses on the application analysis of hedging in stock index futures and spot investment portfolio,from the correlation analysis between stock index futures and spot return rate,the empirical analysis of stock index futures and spot investment portfolio hedging,the analysis of risk factors affecting the hedging effect of stock index futures and spot investment portfolio and so on,forming a relatively complete theoretical framework for the application analysis of hedging in stock index futures and spot investment portfolio,enriching the theoretical system of futures and spot investment,this expectation provides the corresponding theory support and the actual operation reference for the stock index futures and the spot investment.Compared with the existing literatures,the innovations of this article are mainly reflected in the following aspects:(1)Judging from the existing literatures,from the perspective of hedging,there are few literatures on the type of correlation between data,and the main focus is on the linear correlation level,while this article focuses on the relationship between stock index futures and spot return rate.Whether there is a one-way guidance or two-way guidance relationship,and at the same time,whether there is an asymmetry and tail correlation between stock index futures and spot return rate are also taken into account to analyze the correlation between stock index futures and spot return rate,enriching the research data related literature.(2)Judging from the existing literatures,for the convenience of studying the problem,most of the analysis is done by establishing a hedging model under the assumption that the stochastic disturbance obeys the homovariance.However,in reality,most of the stock index futures and spot return rate data exist the phenomenon of volatility clustering,in other words,the stochastic disturbance obeys the heteroscedasticity.Therefore,in this article,aiming at the deficiencies in the literature,based on the analysis of the correlation between stock index futures and spot return rate,the established VAR model is used as the mean value equation of the bivariate GARCH model between stock index futures and spot return rate,establish a VAR-GARCH hedging model,and then on the basis of the VAR-GARCH model,substitute the correlation coefficients in the established t-Copula function model into it to establish a stock index futures and spot investment portfolio t-Copula-GARCH hedging model.At the same time,judging from the existing literatures,the OLS,VECM,VAR and other models established in the literature are all parallel relationships.In this article,on the basis of the VAR-GARCH model established,the stock index futures and spot investment portfolios are further established t-Copula-GARCH hedging model,which expands the empirical application of hedging model in stock index futures and spot investment portfolio.(3)Judging from the existing hedging literatures,there is no follow-up study after calculating the hedging ratio,especially in the level of risk factors that affect the hedging effect.In this paper,first of all,from the perspective of theoretical analysis,this paper puts forward the risk factors that affect the hedging effect of stock index futures and spot investment portfolio,and then uses the specific sample data of stock index futures and spot return rate to verify and robust test the risk factors through the established ARCH family model,and finally draws an empirical conclusion.This will be helpful for investors to provide hedging risk early warning,and provide reference for regulatory authorities to formulate effective regulatory measures.(4)Compared with the existing hedging literature,the research in this article is more systematic,enriching the theoretical connotation and application basis of hedging,and strengthening the persuasiveness of the research proposition:Firstly,analysing the correlation between stock index futures and spot return rate,and then,based on the correlation analysis between stock index futures and spot return rate,establish different stock index futures and spot investment portfolio hedging models,and combine specific sample data to select the appropriate stock index futures and spot investment portfolio hedging model analyses the risk factors that affect the hedging effect of stock index futures and spot investment portfolios,and finally puts forward policy recommendations based on the main content and research conclusions of this article. |
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