The Risk Hedging Of Stock Index Futures Strategy Research

Stock index futures,is a new financial instruments transaction based on stock price. To develop stock index futures is the necessary demand of avoiding systematic risk. Though the stock index futures has more than twenty years history,development is fast. After the Hu-Shen 300 index was promulgated in 2004,the simulative exchange of the stock index furures,arising in the Chinese security market. And the Chinese govement is striving to enact the first stock index futures,based on Hu-Shen 300 index. In order to apply for the openness of capital market,investors expect to avoid the systematic risk and lock the profits by the futures market.Hedging is the reason and foundation that the furures market produces,one of the main types of futures exchange,and the importantmeans that realize one of the functions of the futures market—the riskshifts. It could be seen that hedgeing trade is focus of the futures market. Because the furures market of our country starts relatively late and has more than eighteen years. It is unsoundness of the corresponding measurement of risk management and risk control. Therefore,the research how to make full use of stock index futures for hedging,can not only offer help for the seientific and rational hedging activities and the use of micro-economic locking of costs and stable profits,but also to provide a scientific basis of the monitoring activities for supervisor. Supervisor can play the role of "a visible hand" better to help correctly guide the healthy development of the futures market.The existence of basis risk results in that hedging can not dispel the whole risk.Therefore,to gain the perfect effcet of hedging,it is a key to figure out hedge ratio. In the content arrangements,first of all,this paper introduced the related contents of stock index futures,the development of hedging theoretical research and stodk index futures in China,stressed the importance of the usage of hedging with stock index futures.Secondly,in the empirical part,by constructing a spot combination, a study on IF0711,1IF0712,IF0803,IF0806,using the traditional regression model and error correction model,estimate the optimal hedge ratio under the different futures contracts and the different hedging period,calculated hedging effect. That the most effective hedging of the best sets of futures contuacts and the security period for investors use index futures to hedge probides a basis for reference.