Study On Shanghai And Shenzhen300Stock Index Futures Hedging Ratio

Modem Portfolio theory holds that stock market investors through careful stoek selection and Portfolio investment in seientific, non-systematic risk can be cireumvented,however, such as when the stoek market to fall sharply when the overall systemic risk can not type or by selecting their stock investment Portfolio to be avoided. The stoek index futures as Part of the core financia lengineering can avoid the stock market systemie risk well.The hedging is to use futures markets important means of stock transfer of risk. Through the stock index futures for hedging, thus reduce stock assets (stock), is a systematic risk facing the early1980s stock-index futures in American Kansas futures exchange (KCBT) launched the first motive, is the most main index futures market function. According to a hedging methods are classified into simple hedging method, selective hedging method and portfolio hedging method.Because the stock index could not be traded directly and the trading between stock.so Big Weight Optimized Allocation and Big Weight Allocation subjected to Industry and genetic algorithmare are used to solve the problem of stock index tracking, the tracking errors are calculate to compare the tracking effect. Results show that the track error will getting smaller while the size of portfolio increases, and the track effect of genetic algorithmare subjected to Industry is better than Big Weight Allocation and Big Weight Allocation.The paper makes an empirical research for hedgeratio by OLS, bivariate VAR model and GARCH model. The effect of hedge ratio is evaluated and a lot of important results are obtained.