Application Of Several Risk Hedging Models In China Stock Index Futures Market

Stock market risk can be divided into two types including non-systematic risk and systematic risk. Non-systematic risk can be diversified through increasing stock varieties in investment portfolios. Hedging strategies in stock index futures market can be used to diversify stock market systematic risk. Hedging strategy in stock index futures market refers to an investment portfolio of a spot positions and a CSI300index futures which use profit or loss on the futures market to hedge loss or a profit on the spot market to reduce systematic risk of stock positions in the stock market. The CSI300stock index futures contracts traded on2010provide China stock market investors with a investment instrument to hedge against stock market systematic risk.Based on the research framework to build as many stock parts of hedge portfolio combined with ETF spot positions and the CSI300index futures contract as possible, when researchers test10kinds of static risk hedging model hedging effectiveness in the CSI300stock index futures market using evaluation method of variance reduction rate to evaluate hedging effectiveness which includes optimal effectiveness and universality, the combination use of dynamic hedging in the moving window data processing technology and static risk hedging model can achieve the goal of static risk hedging model to dynamically adjust the hedge ratio. If a certain kind of risk hedging model can produce the best hedging effectiveness in any kinds of constructed spot position, then this model can be defined as a model of having the hedging effectiveness of optimality. If a certain kind of risk hedging model can not produce the best hedging effectiveness in any kind of structured spot position, but after comparing the hedging effectiveness of the risk hedging model with other risk hedging model in all kinds of structured spot position, the risk hedging model has a good of the hedging effectiveness, then this model can be defined as a model of having the hedging effectiveness of universal. Constructing105kinds of spot positions which use the latest and most comprehensive historical data and4forms of moving window data processing, two kinds of the data range of samples are selected to study the different effects on the effectiveness of optimality and universal of the10kinds of the risk hedging models, two kinds of the length of the hedging period are selected to study the different effects on the effectiveness of optimality and universal of the10kinds of the risk hedging models at the same time. The empirical results are shown as followed.(1) The10kinds of risk hedging model does not exist a certain kind of risk hedging model which show the hedging effectiveness of optimality in CSI300stock index futures market.(2) The minimum CVaR risk hedging model show the hedging effectiveness of universal in CSI300stock index futures market.(3) The Changes of sample data ranges and hedging period length does not affect the conclusion of the hedging effectiveness of optimality and universal of the risk hedging model in the research framework of two kinds of sample data ranges and two kinds of the length of hedging period in CSI300stock index futures market.