The Csi 300 Index And The Stock Index Futures Hedging Ratio Of Empirical Research

Since the establishment of the Shanghai Stock Exchange in November1990, China’s stock market has been developing gradually along with the tide of Reform and Opening Up. Due to the short time of development, China’s Stock market still exists many deficiencies. In April2010, been prepared for a long time, the CSI300Index Future has finally been listed for trading in China Financial Futures Exchange. And this stands for a new era coming of China financial market.In this critical moment, the situation for Institutional investors has become more and more competitive. How to survive and outperform all other competitors become the major questions, and every fund manager is seeking for the answers. Obviously, as the greatest financial Derivatives Invention in last century, the stock index future is a powerful tool to handle the market systematic risk, which is the key to above questions.The article focus on this issue and trying to figure out the best hedging ratio with different types of time series model to minimum the market systematic risk, also different hedging spans are under consideration. The result shows:with longer hedging span the hedging effect will be better, and advanced model does not definitely superior to the simple ones.