| As a finance major means of hedging instruments and pricing of stock index futures has grown into a mature financial market in the mainstream. After two years of careful preparation, and finally in the April 16,2010 launched the Shanghai and Shenzhen 300 Index futures. Then the introduction of index futures will provide investors really an effective way to hedge it? Taking into account the risk management using futures to hedge the main way, so this will be the Shanghai and Shenzhen 300 index futures hedging risks of the study. Both theoretical and empirical paper studies the construction of the Shanghai and Shenzhen 300 index method of hedging and risk measurement. The main contents include:(1), summarizing previous studies on hedging, based on analysis and evaluation of the characteristics of various types of construction method of hedging advantages and disadvantages. (2) Aggregate number of main features of the stock market run, especially in terms of the characteristics of volatility and the Shanghai and Shenzhen 300 Index and the CSI 300 index futures to each other. (3) Based on the numerical characteristics of hedge constructed from a variety of methods selected to run for the status of China's stock market hedging strategy, hedging model building. After hedging the portfolio and to predict the possible risks faced. (4) track the portfolio's actual operating conditions, evaluate the merits of the model. (5) combined model of performance, design a suitable hedging strategy in Shanghai and Shenzhen 300 Index.The point of view and conclusions1. Index futures and spot price trends closely, through the cointegration theory conditi-onal heteroskedasticity model is one of the key strategies to hedge. Financial risk measure VaR method is the mainstream method for hedging risk measures also apply. Futures price volatility are the main factors affecting the spot price trends, according to the characteristics of different types of futures, spot prices through the introduction of other relevant variables to create a multi-factor model to describe the futures price volatility. Estimated the optimal hedge ratio of means, including the conditions on cointegration model is widely used heteroscedasticity, and the futures and spot cointegration relations between the countries have been almost empirical support. Although the design of the original intention was to avoid hedging or risk transfer, but the actual operation, is also facing its own variety of risks, basis risk and model risk worth hedgers focus.2. The CSI 300 Index main features of volatility spillover effects for the volatility, abnor-mal volatility, and asymmetric volatility, while the analysis of basis-based non-normal distrib-ution of poor and non-random, but with obvious the positive direction. Nevertheless, the Shanghai and Shenzhen 300 index and index futures, so to maintain a stable cointegration relationship. Change stop mechanism in the CSI 300 Index, the stock volatility obvious spillover effects, this effect is the concentrated expression of the volatility distribution groups, that is when the volatility will be higher over time, In another time low; is a major characteristic of China's stock market:roller coaster rose sharply. If you use to jump to reflect the incidence of abnormal fluctuations, then the CSI 300 Index has a high probability of jumping (35%):the occurrence of a certain jump and sustainability:the case of jump, in a short time will be continuous jump occurred. This feature can be seen as the market trend changes in the characteristics of non-continuous. Simulation of the Shanghai and Shenzhen 300 index futures on the Shanghai and Shenzhen 300 Index and the terms of the relationship between the CSI 300 index futures also simulated asymmetric volatility effect, and the effect of slightly greater than the spot index. Second, the CSI 300 index futures simulation of the distribution than the Shanghai and Shenzhen 300 Index, the left is more slender, the middle more prominent, while the right has a longer tail. In addition, the CSI 300 index futures simulation simulation trading as market participants in the formation of the future trend is expected to make the wrong number of occurrences of jumping is much larger than the Shanghai and Shenzhen 300 Index. But these features on the surface of simulation can not cover up the CSI 300 index futures series and the CSI 300 Index cointegration relationship between sequence, which establish the optimal hedge ratio is the key.3. Through the GJR (1,1) model to estimate the optimal hedge ratio is appropriate. After repeated attempts, the model fitted well the test of the residuals are passed. And can obviously reflect the characteristics of asymmetric volatility. The optimal hedging rate of 0.9875, this result is far different from the level of developed countries to developed capital markets. But in view of our current capital market is not perfect, and the stock index futures also just started to get this result is not surprising.4. If the portfolio in accordance with the GJR (1,1) parameters are given to hedge, the hedge position after ten days in the next 99% sure will lose control of less than 1.85% of total assets, indicating the feasibility of the program have some. However, although the model can be tested through the review, but only in the short term trend of basis to maintain the stability of the base; style conversion if the market suddenly causing speculators on the futures market is expected to have a greater uncertainty. Assets after the hedge is still facing great risk. Asset managers should be concerned about the risk of exposure close at any time to adjust positions.The paper design of the Shanghai and Shenzhen 300 index on the hedging strategy proposed:1. The futures and spot analysis of the data should be fine as far as possible, the basis of the distribution of data in the futures and spot the differences between the data reflected. Only by capturing the characteristics of each two sets of data to understand the reasons for the formation of basis features.2. The model development, evaluation and correction is an iterative process. Over time, the market will change, so there is no one model can adapt to market conditions. Only through an amendment to keep the model to achieve better hedging results.3. Particularly noteworthy point is that the Shanghai and Shenzhen 300 Index and the CSI 300 index futures do not have to obey the basic difference between the mean assuming 0, but the average is 20-22 this interval. This requires that asset managers in the Hedge, will sell a slightly lower rate hedging; and would buy hedge ratio increased slightly, and then you can narrow the differences between market expectations. |
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