The Empirical Study Of The Optimal Hedging On Stock

In the world , with the development of national economies and the incessant prosperity of capital market, the financial derivatives market , especially stock index futures market is becoming more and more important in the field of the entire investment. Because of its excellent function including asset allocation, risk management and hedging , more and more investors and institutions have expressed their favor. The developed body also has introduced variety of stock index futures in their countries, such as S & P 500 Index Futures and Dow Jones stock index futures of the United States, the UK FTSE 100 stock index futures, stock index futures KOSPI200 of South Korea, Japan's Nikkei 225 stock index futures and Hong Kong's Hang Seng Index Futures. After nearly five years'preparation, China's Shanghai and Shenzhen 300 stock index futures finally will be introduced in mid-April 2010, China will become the 36th country has own stock index futures.In this background, this article gives a brief introduction of the 300 stock index futures and carried out a detailed theoretical analysis and empirical test on hedging. For the problem of how to determine the optimal hedge ratio, the paper systematically reviews the development history of the optimal hedge ratio, and respectively introduces the current influential estimate models including OLS model, B-VAR model, ECM models and ECM-GARCH model. Then based on the 300 stock index futures simulated transaction data, respectively the paper uses the four hedging models, and make a brief comparison on hedging effects of four models and finds that dynamic ECM -GARCH model has the best effect, ECM model is the second, while the other two models is worse than the first two models. Because they neglect data's co-integration and get the smaller estimated optimal hedge ratio. Then this paper also verifies influence on the hedging effect ofβcoefficient, leveraging factor and different futures contract using the ECM model, the results show that the smaller isβcoefficient ,the better is the effect of hedging, while leveraging factor's Effect is not significant .The futures contracts is less time away from the spot , the better is the hedge effect, especially noteworthy is that the next quarter contract has a better results than the next month and quarter contract, which mainly due to the semi-annual cycle of the Chinese stock market and makes the next quarter contract price and spot price fit better.