The Empirical Research Of Shanghai And Shenzhen 300 Stock Index Futures Hedging Ratio

Stock index futures is a kind of financial derivatives, which purpose is to avoid and lock the risk of target products. Although it has its own great risk, because of its hedge function and it is the product at the strong demand of risk management. Since stock index futures appears until now, its development speed is very breathtaking. On Sep 8th,2006, the Chinese Financial Futures Exchange was formally founded in Shanghai, and then China's futures market moved into a new era of financial innovation. After that, HuShen 300 Index Futures simulation trading followed, until 2010, April 16, HuShen 300 Index Futures officially listed for trading on China's Financial Futures Exchange. One feature of China's stock market is fluctuating, with great systemic risk, but the generating of stock index futures brings the tools of risk avoidance for the investors trading in our stock market.Although stock index futures can avoid the spot market risk through hedging, its hedging effect was influenced by various factors, which made the investors not to achieve complete hedging. There are mainly three factors to affect, one is the existing of basis risk, one is the options of the Futures Contract and stock combinations, and the third one is the difference of hedging ratio. And meanwhile it has certain function for enriching the research of Chinese hedging ratio, and also offers some basis for avoiding the risk of stock market.Hedging is not only the main function of the futures market, but also the reason of its existence and development. While stock index futures hedging is the main approach for avoiding market systemic risk. Market risk includes systematic risk and unsystematic risk. The system risk can be fully eliminated through dispersive investment and combination investment, and systematic risk can be completely removed, just through the stock index futures derivatives. Especially in the emerging markets of China, the systematic risk is bigger, so the study of stock index futures hedging is of importance for Chinese institutional investors.Due to the introduction of stock index futures in China, the domestic systematic research for stock index futures hedging strategies is still very weak. To make the stock index futures hedging achieve much better effect, the key lies in the confirmation of hedging ratio. The first two chapters firstly study the related concepts of stock index futures and hedging strategies concepts, varieties, and principle, and secondly the principle of hedging. The third chapter introduces the main influence factors, the specific influence of hedging by the basic. The fourth chapter introduces the calculation method of the hedging rate:risk minimization optimal hedging ratio, utility maximization optimal hedging ratio, unit risk compensation maximization optimal hedging ratio, and then introduces four estimated models of the optimal hedging ratio under the conditions of minimized risk:OLS model, double variable regression model, error correction model, generalized auto-regressive conditional heteroscedastic model. The fifth chapter belongs to the relevant empirical research, and introduces the options of stock combinations and futures contracts, in HuShen 300 constituent stock selects the 30 stocks with larger flow market value, good fluidity, and industry representative to form stock combinations, choose IF 1009 contract as the very important futures contract during HuShen 300 stock index futures contract, and use the error correction model and B-VAR model to calculate the optimal hedging ratio.This paper summarizes the basic principle and theory of stock index futures hedging all-sided systematically, and several models of calculating the stock index futures free hedging ratio, and on that basis, and calculating the optimal hedging ratio with the China's listing HuShen 300 stock index futures contract basic rate of income. This paper compares the OLS model and double variable regression models, error correction model and generalized auto-regressive conditional heteroscedastic model, for the error correction model solve the problems related to the sequence which OLS model could not solve, and solve the co-integration relationship problems between the futures price and spot price which the dual variable autoregressive model can not solve, and is much easier to implement than generalized auto-regressive conditional heteroscedastic model, and therefore it becomes the first choice of estimation model. On that basis, this paper also analyses the same data with the B-VAR model and calculates the optimal hedging ratio. After choosing this two models, this paper innovatively introduces using capitalization weight method to choose stock spot combination, and chooses IF 1009 contract in HuShen 300 stock index futures as researched future contract, according to the factors, including liquidity and volume of business, then inspects correlation of data sequences, secondly checkouts co-integration relationship between the futures price and spot price, and finally calculates the optimal hedging ratio. The demonstration simulation of this paper provides theory and practical support for hedging operations of Chinese institutional investors.