The Empirical Study On The Hedging Of Shanghai And Shenzhen 300 Index Futures

Modern portfolio theory holds that stock market investors through careful stock selection and portfolio investment in scientific,non-systematic risk can be circumvented, however, such as when the stock market to fall sharply when the overall systemic risk can not type or by selecting their stock investment portfolio to be avoided.The stock index futures as part of the core financial engineering can avoid the stock market systemic risk well.as the latest development of modern finance, stock index futures marks to products of financial science and engineering. Stock index futures trading is the parties in the financial futures exchange trading stock index futures contract within an economic behavior. Participate in traders is mainly funds, brokers and QFII institutions such as investors, main purpose is to circumvent the systemic risk, financial markets to hedging purposes.China's securities market started late, there is systemic risk in the absence of more financial derivatives, market mechanisms and functions of such issues is not perfect, but has not been formed mainly to institutional investors in the securities market system, and the benefits of institutional investors large extent depends on the overall stock market development trend. When the stock market to increase the total trend of mainly institutional investors, rational, they will be able to share the proceeds of the stock market, get a good return, but the event of adverse situations, they tend to lose reason. Therefore the introduction of a hedging function, reflecting the trend of the stock index futures is of great significance, which is both nurturing and development of the objective needs of institutional investors, but also the healthy development of capital markets and capital market towards a higher level an important step forward.This article is to take this opportunity on the Shanghai and Shenzhen 300 Index Futures Hedging empirical research to provide reference for investors.Hedging can or can not succeed, the key is whether we can get the optimal hedge ratio. This paper describes the basic theory of hedging stock index futures, focus on the problem of how to determine the hedge ratio and describes in detail the five models, and finally select the April 16,2010-February 28,2011 a total of 209 sets of data for empirical research.20 static portfolio choice by the Shanghai and Shenzhen 300 stock index futures to hedge, to calculate the minimum risk hedge ratio, and compare different models and the minimum risk hedge ratio and effect,and found five models effectiveness under almost the same hedge ratio is less than 1, better than the original simple hedging, in which ECM-GARCH hedging model the best, the hedging performance of up to 95.42%, that is in progress Stock index futures hedging, the cash yield on portfolio variance decreased by 95.42%.