Empirical Study And Hedging Effect On The Stock Index Futures

It's well known that the stock index futures will be released to the market in the near future, but beyond that point the certainties end. This is a significant moment for the China capital market, and will not only optimize the capital market function, but will also provide a tool to aid market risk and to improve the competitive strength and risk-avoidance capacity of the China market, the Stock Index Futures trading carries new chance by institutional investors, which can reduce the low-risk by hedging strategy, the paper is empirical research on the hedging ratio of the institutional investors, including the fund, securities firm, insurance institution, QFII. The article adopts minimal variance method. Through regression analysis, it will calculate hedge ratio of institutional investors.The thesis consists of five Parts.The first Part describe the object and purpose. Following it remarks the stock index futures content, such as their concepts, character and function. At the same time, it point to the popular kinds in the capital markets. And it also makes a brief review of historical and current hedging theory, which serves as the theory background of The whole study. At last it put the research idea and the framework of the article.These second part analysis the measure on the system risk, including model and taking a sample for the fund-mixes.The third part puts forward the mathematics model regarding the hedging based on the Markowizt theories. The others and the fourth part proves subject theory to Empirical Study and Hedging Effect on the Stock Index Futures. The five part comes to several conclusions under the studies of preceding parts.