An Empirical Study Of Optimal Hedging Ratio And The Performance Evaluation Based On CSI Futures

Futures contracts are standardized contracts that unified formulated by the Exchange, provisions to delivery a certain number of subject matter in a particular time and place. Stock index futures is a financial derivatives that based on stock price index. As one of the effective tools investors used for hedge asset risk on the spot, it can effectively reduce the risk of capital market system. Stock index futures have developed over nearly30years. On april16,2010, China officially launched the CSI300stock index futures.Hedging is one of the core functions of the stock index futures. First, the mechanism of short selling that index futures have change the investors unilateral profit model that can make a profit only when the stock rose, so the study on portfolio optimization strategy is one of the hot currently. Because effective combinations can not only make investors hedging but also get some low-risk income. Second, with the increase in varieties of stock index futures contracts, it is very worthy of study on how should investors choose the types and positions of futures contracts to hedge. Again, the core of the hedging strategy is how to determine the optimal hedge ratio, ie, the optimization of hedging strategy problem.In view of the above problems, this paper use the study on stock index futures hedging in the portfolio management as an entry point to study the hedging strategy. The first chapter introduces the research background of this article. The second chapter first describes the calculation and derivation of the optimal hedge ratio and the index of hedging performance.The third chapter proceed empirical analysis on OLS, B-VAR, B-ECM this three classic static hedging model respestively, derived the optimal hedge ratio and calculate the hedging performance of each model, the B-ECM Model get a better hedging performance compared with other two models. The fourth chapter have empirical test on the modified GARCH model and the BEKK-GARCH and other dynamic derivative models under traditional frame of model and compare their hedging performance. The empirical results show that:the hedging effect of the dynamic model is superior to static hedging model and the volatility of BEKK-GARCH model is more consistent with financial market, the hedging effect is best relative to other methods. Finnally concluded, and put forward some suggestions for investors hedge operations that in line with China’s national conditions on the basis of the conclusions in the analysis.