The Application Of Stock Index Futures In China’s Insurance Asset Management Company

China’s stock index future market will soon be opened to domesticinsurance companies, which have long been suffered from dramaticfluctuations of the A-share market. The paper aims to study several importantcomponents of stock index futures hedging and provide insurance AMCswith realistic solutions.We first introduce the background and characteristic of stock indexfutures, as well as hedging ratio calculation and evaluation methods; Then wemake an empirical study to calculate the hedging ratios for selected mutualfunds and evaluate the effects of different methods and different timewindow of ratio adjustment; We also introduce and analyze two quantitativetiming methods and a hedging tactic of exploiting discount of privateplacement stocks; Later, we study the basis risk, liquidity risk and rolloverrisk embedded in the hedging proceed; Finally, we introduce several potentialuses of stock index futures in product developments.The main conclusion is as follows: stock index futures hedging canlargely decrease portfolio return volatility; while OLS、BVAR and GARCHmodels have similar hedging effects, the time window of hedging ratioadjustment matters; the hedging strategy based on market timing anddiscount of private placement stocks works well.