Empirical Study On Optimal Hedging Ratio Of Stock Index Futures In Our Country

The stock index futures is a kind of important financial derivative product based on the stock price index and is an important part of financial futures market. As one of the efficient instruments for the hedging of stock assets investment, the development of the stock index futures can not only improve the financial futures market, but also reduce the systematic risks of the capital market. To investors, especially large institutional investors, the use of the stock index futures hedging stock assets will become an important mean of risk management.Hedge can avoid systematic risks by transferring risks.As the cuase and the basis of the futures market,hedge is one of the core functions of stock index futures.Howerver, the determination of the optimal hedge ratio is the key of realizing of hedging.At present, the stock index futures has just been launched,so it is still a fresh financial instrument for the majority of investors. Therefore, studying how to determine the optimal hedge ratio to hedge, can help investors do scientific and reasonable hedge transactions,reduce the risk loss of investors,provide the scientific basis for regulatory activities of regulators and help regulators correctly guide the healthy development of the futures market.The paper mainly studies the problem of the optimal hedge ratio. Firstly,the paper analyzes the determination of the optimal hedge ratio and its efficiency in theory.Then this paper introduces the quantile regression method.On the basis,we do empirical researches with the trading data of CSI300 index futures,which are based on OLS,VAR,ECM,GARCH and QR.Then we analyze and compare the regression results of five modles and the measuring of the ratio's efficiency. The main conclusions are:(1) the regression results of five modles are almost same and are largely in 0.89-0.93.This shows the trend of CSI 300 Index futures and spot has strong correlation. This also shows that the basis risk of CSI 300 Index futures is relatively small and the whole market systemic risk is low.Because the hedge ratio is less than 1,the trading volume of the futures is lower than the spot in the hedge portfolio,that is to say, the cost of investing futures is lower than the sport.(2) Although the empirical results of five models are similar,the quantile regression method have more effect in guiding investors. Because QR can roundly reflect the relationship between CSI300 Index futures and spot, so that investors can choose a different proportion of futures to hedge according to the different yields of the sport to make their investment risks reduce to a minimum..The work done in the paper is that doing empirical researches about the optimal hedge ratio of CSI300 index futures based on OLS,VAR,ECM,GARCH and QR. Currently,the study is less,which uses the quantile regression method to study the issue of the optimal hedge ratio of CSI300 index futures. And in these few references,it is only to compare and analye the results of QR and OLS. In this paper, the results of five models are all compared and analyzed and on the basis, the paper proposes policy recommendations.