The Analysis Of Stock Index Futures Hedging

China will be launched in Shanghai and Shenzhen 300 index contracts,stock index futures hedging will also be widely used。The hedging activities in this article is mainly based on the most common one:the futures market and spot market and at the same time to make a hedge,as short selling is not allowed in China,so in reality only through the hedging of the current buy a stock portfolio and sell stock index futures contracts of the same value。To achieve this process,we need to build a reasonable portfolio to effectively track the movement of the Shanghai and Shenzhen 300 index, also is to make the minimum of tracking error between them。The more common approach is to build an optimization model, with quadratic regression method calculated the specific portfolio weighting in each stock。In addition,this paper optimization model was certain improvements,the introduction of the relevant parameters,get a new optimization model,by contrast we found that the improved model better。The main content of this article is divided into the following three parts:The first part describes aspects of stock index futures and hedging-related knowledge, mainly from Europe,the United States and Asia to explain the situation in developed countries。China will also launch futures contracts in Shanghai and Shenzhen 300 Index,the introduction of stock index futures market in the securities industry in China will grow a profound significance。The second part describes the specific stock index futures hedging model,improved from the theoretical aspects of the optimization method in detail. Then, we adopted the model,the spot market portfolio,a good tracking of the CSI 300 Index。Obtained by calculating the value stock portfolio,and then in the futures market to make a hedge,selling stock index futures contracts of equal value。Of course,buying and selling, we need to consider related with costs。 The third part is the empirical analysis,we selected a reference date,using an optimization model to get the portfolio we need and calculate the weight of each stock。Then compare the two models of tracking error。Through comparison chart we find the latter model is better,then the following is the result of the related calculation of hedging。...