A Study On Hedging Transaction Strategies Of Stock Index Futures

Stock index futures is a financial derivatives designed for avoiding the systemic risk in the stock market. Because of its significant advantages and rapid development, Stock index futures becomes the most popular hedging instrument, and plays an important role in the capital market. Stock index futures hedging is used for risk hedging of stocks held in the hand or locking the cost of buying stocks in future, so as to achieve the transfer of risk among different kinds of market participants. The theory basis is the price of stock index futures and stock market are determined by the same factors, and the change between them is consistent or highly relevant. Therefore, it has a strong practical significance and value of the research on the strategy of stock index futures hedging.First of all, this thesis explores emphatically the selection the strategy of hedging on the basis of the theory of stock index futures and the function of hedging strategy. Then this thesis introduces three kinds of optimal hedging ratio and analyses the advantages and disadvantages among them. Secondly, this thesis elaborates the target location of different institutional investors, the status of their investment behavior and the applied value for them on the stock index futures hedging. The same applied value for them is to avoid the systemic risk of Chinese stock market, but each of them has differences. Thirdly, this thesis uses CSI300 to analyze the hedging effectiveness of different kinds of institutional investors. The result demonstrates QFII has the best hedging effectiveness, then the second is social security fund, and securities investment fund is the last one. On the basis of the result, this thesis analyses the reason and give some policy recommendation to improve the hedging effectiveness.By researching the different institutional investors'target location and source of fund, the innovation of this thesis is the applied value of improving the irrational investment behavior and building value investing as the main investment ideas, and then analyses the hedging effectiveness combined with the empirical study.