Empirical Research For Hedge Ratio Of Share Index Futures

Share Index Futures is an important part of financial futures,it act as significant role in international capital market.Because it has two basic functions,price prediction and risk avoidance,so it has be defined as a radical instrument for risk management.Hedge is a future dealing to avoid merchandise price risk.Share Index,Share Index Futures price and Shares Portfolio price's changing in the same way,is the basic requirement for Hedge dealing.The mainly hedge strategies are Buying Hedge,Short Hedge,Close Hedge(Cross).The effect of Hedge is base on the calculation and error correction of hedge ratio,we mainly discuss deduction of hedge ratio.So we introduceβvalue of CAPM model to diminish the risk,that we can deduct the relationship between theβvalue and hedge ratio.By the empirical research of Shanghai-Shenzhen 300 Shares Index Futures,we validate this relationship.The contribution of this thesis is that,in the empirical research of Shanghai-Shenzhen 300 Shares Index Futures,we introduce three variable's changing act on effect of hedge ratio.They areβcalculation required historical date length for the shares portfolio,and delivery month of Share Index Futures,andβcalculation of Share Index Futures.Finally we draw the following conclusion.The on month contracts are more effective than the next month contracts in hedge trading.Because the on month contract's delivery date is closer than the next month's, so the futures prices are close to the shares portfolio prices.As the next month contracts are far from the delivery date,many risk and uncertain conditions are involved.The on month contracts are more liquid,and the extension of contracts are more easily and lower cost,so we usually use close contracts to perform hedge trading. By involveβvalue of the futures,the effect of Hedge trading are increased.Because the Shanghai-Shenzhen 300 Shares Index Futures use virtual money,is far from the real and aged market,so the futures prices are deviated from the shares portfolio prices. By involveβvalue of futures,we have good result in the empirical research. As certain shares portfolio,choose the period ofβcalculation's historical date length between half year and one year take more effective.Becauseβcalculation's historical date length changing are relative to hedge effect.By calculateβvalue dynamically,we must find a bestβvalue to deduct hedge ratio,and to perform preferable hedge trading.