Research On Risk Management Of ETF Based On The Hedge Of Stock Index Futures

As a kind of index funds, despite the ETF has many advantages, but compared with otherfinancial products have investment risk, but because of its unique design system, theinvestment risk has its own specialty, but the same and other financial products,theinvestment risk also can be divided into systematic risk and unsystematic risk. However,ETF completely passive index investment strategies, tracking, fitting a representative of theunderlying index, has been effective to avoid the stocks of non-systemic risk, but the stockmarket, huge systemic risks while filling the ETF investors difficult to avoid. CSI300stockindex futures launch, making such risk management in the ETF may become a reality. Stockindex futures is a stock price index as the subject matter of financial futures contracts, is themain tool for investors to hedge. Effective use of stock index futures, to avoid systemic riskand lock in gains.Article describes the basis of the ETF and stock index futures, stock index futures hedgingprinciples and models, and then on the CSI300stock index futures to analyze the feasibilityof the ETF hedging through their day to close the serial correlation coefficientcalculation ofunit root tests, cointegration analysis, come to use stock index futures on the ETF to hedgefeasibility. Thus comparative analysis of the ordinary least squares regression (OLS), theerror correction model (ECM) and ECM-GARCH model, the model advantages anddisadvantages, in theory, suitable for stock index futures on ETF Risk Management Model(ECM-GARCH model). Finally the model to estimate the optimal hedge ratio of the CSI300stock index futures on ETF, as well as in the corresponding hedge ratio hedging effect, anempirical analysis of choice models hedging effect...