Institutional Investors In The Shanghai And Shenzhen 300 Stock Index Futures Hedging Dynamic Measurement Analysis And Empirical Research

The flourishing development of Chinese Capital Market becomes another sample of the Reform and Opening Policy's brilliant achievements. System improving, object extending, market enriching and investors maturity, which show the vigorous development and bright future of emerging economies. As the essential link of market perfecting, putting out HS300 stock index futures has been greatly concerned, and it is up to stock index futures' high application value in pricing, supervising, arbitraging and hedging. Therein, dynamic hedging is one of the most significant functions of stock index futures. Making full use of it is an effective measure of assets allocation and risks controlling. The paper establishes the subject which called Metrological Analysis and Positive Study on HS300 Stock Index Futures Dynamic Hedging for Institutional Investors in order to grasp market opportunity, supply investment proposal and enhance assets safety. The underlying assets weights, hedging ratio and Beta in CAPM are used in research process. Logic and structure get much attention in this paper, and the five components are as follows:The first chapter regards the concept, principles, types and functions of stock index futures hedging as the object in order to lay a foundation for the following profound exposition, such as the quantitative process, transaction method and precautions of HS300 stock index futures hedging.The second chapter talks about the principle , demonstration, data, measurement, computation and calibration of HS300 stock index futures dynamic short hedging. Typical Portfolio P, detailed data and representative period are selected to work as research elements. The two core targets of this chapter are to accurately determine the transaction contract amount and it's dynamic adjustment scheme of the short hedging concerned.When the paper studies on HS300 stock index futures long hedging in the third chapter, the author designs Portfolio Pexp, which is much different from Portfolio P (for short hedging) in several aspects, such as transaction purpose, investment instruments and observation period. This is to distinguish between these two kinds of stock index futures dynamic hedging with functions and dealing-junctures. The two core targets of this chapter are to accurately determine the transaction contract amount and it's dynamic adjustment scheme of the long hedging concerned.Another prominent practice of HS300 stock index futures dynamic hedging is to offer institutional investors effective methods and theoretical foundation for the design and development of collective hedging products. The solution is to make a portfolio, which devotes efforts to exploiting investment managers' stock & juncture selecting ability and avoiding systemic risk. The core principle and econometric modeling are treated as the breakthrough points when this important application of HS300 stock index futures dynamic hedging is deeply studied in Chapter 4.The fifth chapter makes eight thorough topics about the institutional application notes of HS300 stock index futures dynamic hedging in order to avoid dealing risk, raise accuracy and upgrade the practical value of this paper. The topics aim to solve the problems of period matching, basis risk, transaction limit, approval delay, margin risk, forced position closing apportionment, hedging ratio and portfolio optimization.Being an novelty in Chinese financial market, stock index futures hedging lacks developed regulation which have not been evaluated by experiment. The author hereby strives for the innovation of both theory and practice while researching. In the aspect of method, absolute dynamic predetermination is adopted by using the bivariate which contains both market value and Beta, this measurement works much better than traditional static analysis and single-variable dynamic analysis; In the aspect of application value, related theories are used to design and develop new investment products by the author in order to change the specialized knowledge into productive forces; In the aspect of policy significance, the author raises several original views and policy suggestions on lots of supervision emphasis, such as transaction limit, forced position closing, approval delay prevention. The views and suggestions are based on the background of emerging Chinese Capital Market and the practical situations of institutional investors.