Csi 300 Stock Index Futures Dynamic Hedging

Following the development of the capital market in our country, lots of the investors hold great numbers of the stock spot assets. The outstanding achievement of these investors' outputs are very easy been influenced by the volatility of the performance from the stock market. In the bulls market, these stock-preference portfolios perform all right and have great chance to achieve big profits. However, in the bears market, especially when the financial crisis comes up, the stock markets are very easy been exposed to the negative factors and perform very badly, the earnings from these stock-preference portfolio are not well. In china,the system risk which is 15% above the average level in west developed country,takes account of the 40% of the total risk.Therefore,the research about the high-efficiency application which take the stock futures to hedge the system risk in the spot market into account are very meaningful both in the research and empirical points. Along with the stock index futures contracts be official pushed-off and transacted in 2010,4,16, when the risk aversion investors must face the bear market, they can not only sell the stock spot portfolio in low price but also buy sock index futures in the financial derivative markets. The application of the stock index futures contracts in the risk management of the bear market is just like this: let the incomes which come from the selling out of the stock index futures make up of the lose which come from the spot market. The futures contracts which can be fictitious transacted efficiently smooth the volatility of our spot market and helpfully improve our financial market efficiency.In this paper, we focus on the hedging strategies about CSI300 futures contracts. Using the IF1012 contract in which the spot asset is CSI300 to simulate the application of the stock index futures in hedging the system-risks in the stock spot portfolio. In the futures hedge problem, ensuring the optimal hedge ratio is the most core problem. This paper investigates the time-varying hedging effectiveness using BGARCH,BGARCH-X,EC-BGARCH and ASY-DCC-BGARCH models which determined hedge ratios. By investigating the volatility of the hedging portfolio's daily return and the Value at risk of the four models the results suggest that the ASY-DCC-BGARCH model which take the asymmetric basis effect into consideration provides the most effective hedge; the BGARCH-X and EC-BGARCH models are placed in the middle; the BGARCH models which only take the coefficient between the futures and spots market into account performs worst. For this reason, when investors in our country use the stock index futures to hedge the system risk, they should not only obey the principles of contrary directions of transaction and the similarity of the subject assets and transact time, but also take the asymmetric basis, cointegration and error correct relationship into consideration, adjust the optimal hedge ratio on the basis of dynamic correlation coefficient.