An Empirical Study Of Shanghai And Shenzhen 300 Stock Index Futures To Hedge Funds And CSI 300ETF

As an important financial innovation derivatives, stock index futures in thecapital markets, asset management and risk management plays a very important role,has become the most important financial derivative instruments in a country’s capitalmarket. HS300stock index futures officially listed to change the situation of themarket to rely on to do more profitable, but also enriched the main investmentdiversified investment strategy that can attract a lot of money into the stock market,helping to improve the stock market trading volume and market liquidity sex. HS300stock index futures as a risk management tool, you can effectively reduce thevolatility of the stock market, thus contributing to the stability of the stock market. Inaddition, the HS300stock index futures also help to optimize the structure ofinvestors, increase the proportion of institutional investors possession. HS300stockindex futures contracts in the past two years, the overall trend is relatively stable, themain contract volume and open interest has steadily increased, to provide institutionalinvestors with hedging instruments.With the May28,2012HS300ETF Fund officially listed for trading, HS300Index Futures corresponding spot HS300ETF Fund the case, this article the effect ofhedging on the HS300stock index futures and the HS300ETF Fund empiricalresearch.Chapter Introduction This article introduces the background and significance ofthe thesis and the basic framework and ideas, and related literature review is made onthe innovation of this paper and inadequacies. Chapters II and III of the theoreticalpart of the review, including the introduction of stock index futures, the Shanghai andShenzhen300stock index futures, the concept of HS300ETF Fund, features,functions and launch of significance, as well as hedging related to the review of thetheory. Chapters IV and V is the empirical part of the fourth chapter of the Shanghaiand Shenzhen300stock index futures and HS300ETF Fund correlation test analysis,the main use of econometric analysis software EViews5.0of the HS300stock index futures and HS300ETF Fund data unit root test, co-integration test, error correctionmodel estimates and Granger causality test, and make relevant conclusions of theexamination. The fifth chapter is the analysis of HS300stock index futures and theeffect of hedging HS300ETFFund. This chapter by least square vectorauto-regression model, vector error correction model, generalized autoregressiveconditional heteroskedasticity model comparative study of the effect of hedging, anddraw the corresponding empirical conclusions. The sixth chapter is a summary of thefull of the summary text of the articles conclusions of the study and recommendinvestment.HS300stock index futures and the HS300ETF Fund’s correlation test long-runequilibrium relationship between the Shanghai and Shenzhen300stock index futuresand the HS300ETF Fund and the HS300index futures HS300ETF Fund reason, Inother words, the change of the HS300index futures guide HS300ETF fund changesto HS300ETF Fund as the dependent variable, the HS300index futures asindependent variables to create dynamic regression model. In addition, the currentvolatility of the Shanghai and Shenzhen300stock index futures on the currentvolatility of the HS300ETF Fund adjustment, Shanghai and Shenzhen300stockindex futures price for each additional1%HS300ETF fund price will cause anincrease of0.9726%, indicating that two by having a strong correlation. Hedging spotselected should be a linear relationship with the stock index futures, the stronger thebetter, so select HS300ETF funds to match the HS300index futures is the mostappropriate hedging transactions.The comparative analysis of the four models can be applied OLS model the effect ofhedging on the Shanghai and Shenzhen300stock index futures and the HS300ETFFund. Therefore, the testing and modeling, investors according to the hedging model,before carrying out hedging hedge ratio and hedging effects to predict, investorsaccording to the hedging model, hedge, the hedge ratio and hedging effects to predict.