Reserarch On The Optimal Hedging Ratio Based On Chinese Stock Index Futures

Chinese capital market has nearly 20 trillion market value and more than 2000 listed companies, during the last 20 years development. Although the development of the stock market experienced many setbacks, Chinese capital market will remain with financial innovation, financial liberation and high-speed development. At present our country has launched the HS300 index futures and securities lending business, foreign exchange market also launched options products, but also in the future, will continue to release to refinance and covered warrant, further to enrich the financial products. Compared with the traditional trading strategies, the future of the financial market is undergoing profound changes, if investors can't adapt to the new conditions, not only cannot grasp the opportunity, but also could cause great lose. Against this backdrop, this paper introduces hedging by stock index futures. April 16, 2010, China officially launched HS300 index futures. Use the stock index futures, investors can speculation, hedging, and arbitrage. Hedging in the futures markets, can promote the price discovery, stable financial market and reduce volatility. Through hedging, investors can transform market risk into much smaller base risk. While in the hedging operation, the key point is how to determine the optimal hedging ratio. Therefore this paper will stand at the hedgers'point, overseas scholars have pointed about how to achieve the optimal hedging ratio. The most primitive hedging strategy is the 1:1 the hedging, namely hold spot and the same position, but opposite direction futures position. However, due to the different reaction, especially the stock price index futures hedging, is a cross hedging strategies, which makes the hedging strategies tend not to be optimal, and prompted the research on the optimal hedging ratios in practice and theoretical. From the OLS method, VAR, ECM, to GARCH class models, SV class models, as well as Copula methods which widely used in financial field recent years, any financial theoretical innovation can be used in hedging theory. After briefly reviewed the outstanding scholars'theories, use the stock index futures contract real transaction data, to carry out the empirical analysis.