The Study Of Hedging Models Based On Shanghai And Shenzhen 300 Stock Index Futures

The stock index futures is a product of modern capital markets. Since the 20th century 70th decades, in order to avoid risk which was brought about by the price fluctuation of stock markets, western countries had begun to introduce the stock index futures which was financial derivatives to achieve the hedging of assets. Comparatively, the study of the stock index futures of China was relatively later. With the development and growth of Chinese stock markets, the demand on the stock index futures was more and more intense. Probably by five years'preparation, the first domestic stock index futures-Shanghai and Shenzhen 300 index future has been born on the field of Chinese stock market. Therefore, studying on the Shanghai and Shenzhen 300 index future hedging is practically significant.In this paper, first of all, the index futures hedging theory is introduced, which makes the theoretical basis on the study of the stock index futures hedging. Afterwards, the research method of stock index futures hedging is introduced, the unit root test and cointegration test is the empirical method of this paper. And then, the traditional least squares regression model, the varying coefficient model with AR(1) and the state space model are studied.In the empirical part of this paper, Shanghai and Shenzhen 300 index and index future are selected as the sample data of this paper, and then, the two financial time series are carried out unit root test and cointegration test, this two financial time series are proved that they have long-run equilibrium relationship. And we conduct the empirical study on the traditional least squares regression model, the varying coefficient model with AR(1) and the state space model, comparing the hedge ratio of different models. Finally, we compare the performance of Shanghai and Shenzhen 300 index futures hedge models in the light of the measure standard of the hedging performance. The results show that no matter what methods do investors use, they all achieve the purpose of avoiding price risk, but the degree of risk reduction is different. Therefore, the use of dynamic hedging model performs much better than other hedging models, such as the state space model.