The Study Of Hedging Ratio Of Our Stock Index Futures

There are two kinds of risks exsiting on our finance market, namely non-systematic risk and systematic risk. Non-systematic risk can be eliminated by portfolio investment, but systematic risk must be avoided by financial instruments. One of the important financial instruments on avoiding systematic risk is the stock index future. Hedging is the mean of avoiding risk, and the optimal hedging ratio of hedging is the key to the problem. In the ground of Hushen 300 Index Future just be launched, it is essential to research the optimal hedging ratio of hedging deeply, because it will provide some theoretical basis and guidance to investment institutions and fund, also it can averse systematic risk for investors and make financial market smoothly.The issue has five chapters. The first chapter is the introduction section. It introduces the background and significance, the foreign and domestic literatures about futures hedging ratio and the innovation of the issue. The second chapter introduces the theory of hedging ratio, including the concepts of stock index futures and hedging and the methods of determining the hedging ratio. The third chapter introduces hedging ratio estimate models under the minimum risk, and divides into static and dynamic estimate modes. The fourth chapter is the empirical part. It selects the datas from the April 16 to September 17 in 2010. It adopts many methods including static estimate models (OLS, ECM, B-VAR, GARCH, ECM-GARCH and EGARCH) and dynamic estimate models (RR, BGARCH, ECM– MGARCH and BEKK). Through the Hedging performance, the optimal hedging ratio is obtained. The fifth chapter is the conclusion and future research direction.Based on the theory of modern portfolio minimum risk hedging ration, the issue use the static and dynamic hedging ratio estimate model and hedging performance to compare and conclude, 1. No matter what kind of hedging ratio model, can avoid more than 75% of systemic risk, So we should adopt the stock index futures hedging to avoid risk. 2. In theory and practice, dynamic hedging effectiveness is superior to static hedging effectiveness. In order to hedging effectively, stock index futures hedgers should adopt ECM - MGARCH model to estimate the optimal hedging ratio for determining the proportion of futures and spot.