The CSI300Index Futures Hedge Ratio:an Empirical Study

Investors in the stock market is facing two major risk, respectively is the systemic risk and the non-systematic risk. Non systematic risk can be dispersed through investment portfolio construction to avoid, but systemic risk can not through a dispersive investment to avoid controling purposes. It is in the risk management of stock index futures is emerge from stock trading and become a kind of new transaction mode. Stock index futures’the subject matter of the stock price index. Since February1982. KCBT in the United States exchange value line index futures, because it has the function of avoiding the risk of stock index futures and hedging, which is get all kinds of investors’attention, the rapid expansion of the scale of business transactions, increasing varieties. The China financial futures exchange established in2006.and at April16,2010with the CSI300stock index futures contracts listed on the official trading, which marked that the futures market in our country has entered a new era of financial innovation. One of the China’s stock market prominent feature is the large fluctuation, the big systemic risk, and CSI300index futures provides a tool to avoid risks to stock market investors in China.Stock index futures despite hedging, having a dispersion of stock market risk function, however, because the cash price and the futures price is not parallel to the motion, the futures price and spot price changes are not entirely consistent, i.e., basis risk existence led to the ineffective hedging in part exist in the hedging relationship, hedging cannot achieve the perfect hedge. Thus, the correct calculation of hedging ratio of1:lis not that simple, and investors to the hedging investment activities of hedging strategy selection and adjustment of one of the most crucial link. So, our country has launched more than two years of the CSI300index futures, how to calculate hedge ratio to control risk and achieve value? This paper mainly from the perspective of the hedge ratio. According to the domestic and foreign research on hedging ratio has a lot of, these academic research mostly is given to the model of calculating the optimal hedging ratio, each model has its own advantages and disadvantages, and a large number of studies show that different futures objects, different market development degree, even in different countries, hedging ratio model is also different for hedging. Different calculating hedge ratio model of the optimal hedge ratio is different, and the varies hedge ratio could very seriously influence the effect of hedging. How to choose a suitable for China’s CSI300index futures hedging strategy model and obtain the optimal hedge ratio is very important. As an emerging stock index futures market, these problems need us to verify, to answer.This paper clearly, systemic introductes of stock index futures and its function, summarizes the basic principles and basic theory of hedging, presents several calculation model of stock index futures optimal hedging ratios of several model, and vising of China’s CSI300index futures contract trading yields, calculated the optimal hedge ratio. Based on comparing with the OLS model. B-VAR model. ECM model three kinds of models. obtained that in the minimum risk, the most suitable for China’s CSI300index futures hedging ratio model. This paper chooses OLS. B-VAR model, ECM model on a sample of transaction data for analysis, and calculates the optimal hedge ratio. In this plan, the first chapter of this article is mainly on the research background, research significance, research method and a simple general introduction. The second chapter give a overview of the stock price index and stock index futures related concepts, characteristics, functions, the same time, our country’s CSI300index futures are introduced and interpretation. The third chapter is mainly on introduced and summarized the principle of hedging, hedging theory and the minimum risk hedge model. In which, introduced and analysied four kinds of commonly optimal hedging ratios estimation models used in risk minimization condition:OLS model, B-VAR model. ECM model. GARCH model. This paper choose the top three models to empirical analysis. The fourth chapter is empirical research of the hedging ratio introduces the spot and futures contract selection, selection40stocks of the CSI300index, which are the large flow of the market value good fluidity, with industry representative stocks.selection of IF1106of CSI300stock index futures contract as a of a futures contract in the contract, choice OLS model. B-VAR model ECM model to calculated the optimal hedge ratio, and compared.In this paper, the research methods and conclusions provide certain guiding significance to the investors in China’s CSI300stock index futures market using stock index futures to make hedge the investment strategy and operation.