Effectiveness Research On The Stock Index Futures Hedging

Stock index future is a kind of financial futures which use stock index as targets. As a tool of avoiding systemic risk, stock index future has got a globally rapid development since launched. April,2010, the Chinese government officially launched the CSI300Index Future. This event changed the one-tier long mechanism in China’s capital markets; in addition, it provides investors a much richer set of portfolios, and meets the needs of investors to avoid systematic risk. After nearly three years of development, its volume and turnover have increased, but investors are in low participation and effect of mitigating risk has not fully engaged because of a short time for development in China. Reasonably estimating hedging ratio is the key of conducting hedging. The purpose of this paper is through the empirical analysis to make more investors to fully understand and actively use hedging to avoid the risk of spot market.This paper first summarizes the basic knowledge such as development course, function of stock index future and exchange system, and point out that the stock index future in risk aversion also faced with some risk at the same time, besides, analysis the development status of CSI300stock index future and the impact on China’s capital market. Then takes the hedging theory development process as the basis to analysis the static calculation model(OLS> B-VAR-. B-ECM) and dynamic calculation model (GARCH、ECM-BGARCH) under the condition of risk minimization. This part laid a theoretical foundation for the following empirical analysis. Finally, this paper does regression analysis by EViews5.1combining theoretical model and actual data of China’s capital market in2012, and evaluates the hedging effectiveness which calculated by hedging ratio. Through the lateral comparison result, it’s easy to find use hedging ratio which estimated by dynamic calculation model does not achieve the theoretical optimal effect; however, the simple OLS model performs the best under the condition of different period. Moreover also find that the period length will affect the final effect of hedging. According the conclude, this paper put forward the suitable hedging strategy under Chinese context and provide the suggestion of mitigating risk and allocating assets by stock index future.