The Hedging For Stock Index Futures And The Empirical Eesearch For Hedging Optimal Hedging Ratio

The system risk means to be subjected to politics, economy, society etc. macroscopic reason influence, bring stock market price of loss.Press the dissimilarity of risk type, the system risk can is divided into policy risk, interest rate risk, exchange rate risk, purchasing power risk, and market risk...etc..These risks are all generally the results of macroscopic influence, can not pass combination investment to evade, canning not scatter risk.Stock index futures' hasing the function that a set of period protects a value , in the stock market of reality, usually is this kind of phenomenon:Stock price and fluctuation direction and trend of stock index are alike, and more is the due date that is tended to contract, both more jump together.This because of making they produce the reason of variety basic is consistent.Stock index futures set the period protect the basic principle of value be make use of stock market and stock index to expect city top the size is close by, direction the contrary ready cash come to evade system risk.This even if the stock market bigger motion happens, investor will also at an on the market accrual but at another on the market loss in business, pass calculation the set period protect a value rate and make accrual and loss in business basic hold even, the set period protects the effect of value to attain.If want to effectively evade this kind of system risk, need to find out a suitable stock index futures object.The stock index futures of our country is according to Hu deep 300 index numbers on.The index number is the index number of the embodiment A stock market field whole trend that deeply hands over place to release on April 8, 2005.Its purpose is for the sake of the whole fluctuation circumstance of reflection stock price.The stock index futures of the our country contract with Hu deep 300 index numbers for foundation, have good overlay in the market, basically reflected Hu and deep big body condition of two city stocks.This is that we make use of stock index futures to carry on the premise that a set of period protects a value to the spot market.Need to be advertent BE, the set period of stock index futures protects the set period of value and general commodity futures to protect value to compare, the biggest dissimilarity be:The set period of stock index futures protected and was worth to a little bit well evaded the system of the spot market risk, but set the period protect a set in value in back inch but hard evade not system risk.Stock index futures adoption security deposit trade system, it is low to trade cost, the lever leads Gao, and set period's protecting a value is its application is also one of the most important functions most extensively, is a kind of count for much risk management tool, is a stock index futures existence and continuously develop of root reason.The set period protects the quality of being worth the effect is decided by various reason of, but among them the most important is a set of ratio that period protects a value.This will beg investor before carrying on a set of period to protect to be worth, the exactitude presumably expects, the income of spot market, compute the set period of superior to protect to be worth ratio, whether this is successfully a set of period to protect a value or not of key.This text protects the analysis establishment of value to the set period deep in the Hu 300 stock index futures contract on, sieve since stock index futures traded a great deal of data up to now, adopted the method research of model to expect, the relativity of stock on hand price, made use of model to estimate that the superior set period protected to be worth ratio, and analyzed the set period of using different model to protect to be worth usefulness and help the tool that the investor made use of quantitative analysis to invest stock index futures, do the property combination of a reasonable and evade system risk.Make investor can correct cognition and use stock index futures carry on the function that a set of period protects a value, the this steady development toward the releasing of stock index futures and the our country financial market has important meaning.