The Research On The Simulation Of Stock Index Futures To Hedge On ETF

ETF, Exchange Traded Funds, using completely passive investment strategy of the index, tracking and fitting a certain representative index, to evade non-system risk of single stock investment effectually, and to gain the same yield as the index. But the tremendous system risk of stock market brings loss that can not be evaded to the investors for the ETF. Stocks Index Futures, a stock price index as a subject of financial futures contracts, is a kind of derivative financial instruments (Financial Derivative Instrument). Stock investors in the stock market in the face of risk can be divided into two types. One is the overall risk of the stock market, also known as systemic risk that all or the majority of stock price with the risk of volatility. Another risk is stocks, also known as non-system risk, namely the possession of a single stock market facing the risk of price fluctuation. Through the investment portfolio, while the purchase of a variety of different risk stocks, can be used to circumvent the non-systemic risk, but it can not effectively avoid the stock market as a whole fell by the systemic risk. Stocks Index Futures is the major tool for the investors' hedging, by putting stock index futures on a fall, to reach the goal of avoiding risk and locking yield.Hedging rate for the calculation of the effect of hedging play an important role, it is financial engineering has been the focus of the study, at home and abroad have studied this. Hedging from the traditional to the modern theory of hedging theory has achieved great development, which OLS model is a simple and effective set of security calculation method can be seen as a hedge investors choose the spot and futures investment Portfolio to reduce portfolio risk. The assumption that investors are absolute risk aversion, its value is designed to minimize the risks, which can be minimum variance under the hedging rate.Through the use of spot prices and futures prices of historical data, to do regression analysis can achieve.As China's stock index futures had not yet listed trading, no corresponding actual data can be calculated and simulated futures trading data motives and the absence of too few participants, not meaningful. In this paper, the use of alternative methods, with the future of the cash benchmark index futures - the Shanghai and Shenzhen 300 index to replace. This approach ignored the stock index futures and the cash-poor risks. While this assumption reality not true, but because stock index futures and spot the correlation between strong, it is difficult to have a riskless arbitrage opportunity, and the existing empirical proof of index futures and spot the correlation between strong, therefore this alternative to explore the issue of this paper is feasible.This paper takes Shanghai 180 ETF and Shenzhen 100 ETF for the hedge empirical study with the HS300 index futures. The paper firstly evaluates ETF systematic risk by citing risk measurement models, and then based on simple hedging strategy and risk minimization hedging strategy, adopts unitary linear model to calculate the above hedge ratios of ETF respectively, and evaluates effect of hedge, and furthermore draws some useful conclusions by analysis of empirical study.