Empirical Research For Hedging Ratio And Shares Portfolio Of Shanghai-Shenzhen 300 Shares Index Futures

There are two kinds of risk existing on the stock market,namely systematic risk and non-systematic risk.Non-systematic risk can be distracted by portfolio investment.But it must be relevant tools to avoid systematic risk.One of the characters of stock market in our country is the tremendous volatility and systemic risk,and the stock index future is the tool to avoid systematic risk.It is time to launch the first financial future product-HuShen 300 Index Futures in the Chinese Futures Market with the Stimulate traction launching in the Chinese Financial Futures Exchange."Hedging"is one of the main functions of the Stock Index futures.It is essential to work out the premise Hedging Ratio to make the Hedge function action in the stock futures market.With the increased usage of econometrics development tools for investment management model,there are some new research and usage on the minimal risk Hedging Ratio.The traditional calculation method of the minimal risk Hedge Ration is to use the minimal variance model.With the development of times series econometrics, some scholars find it is easy to make the wrong estimation for the minimal risk Hedging Ration.This issue makes empirical analysis for the fifty stocks share portfolio of HuShen 300 Shares Index Futures,and the paper adopts the model methods of OLS,bivariate-VAR model and error correction model separately to take the empirical research for Hedging Ratio.Finally the Hedging performance is evaluated and compares each other by the 3 models.This has a practical significance for those organizational investors such as Funds companies,Social Security companies,Insurance Funs who take Hedging action basing on stock index futures.