Study On The Optimal Hedge Ratio Of CSI300Index Futures

Since the establishment of the Shanghai Stock Exchange in November1990，China’s stock market has been developing gradually along with the tide of Reform andOpening Up.Due to the short time of development, China’s Stock market still existsmany deficiencies.On April16,2010，Shanghai and Shenzhen300stock index futureswas produced．It is the first financial futures in China, providing a financial intrsutmentfor the investors to hedge for the stock.Hedging with stock index for the spot, it is the key to determine the optimal hedgeratio. In this paper, OLS model, VAR model, ECM model, GARCH model and doublevariables BEKK-GARCH model are used to estimate the optimal hedge ratio of theShanghai and Shenzhen300stock index futures from April16,2010to December16,2013, and then the hedging performance is calculated, based on the theory ofmodern portfolio minimum viarance hedging ration.The results of empirical research show that, either the contracts of every quartercontinuous or the contracts of next month continuous, BEKK-GARCH modelperformed the best, and OLS model performed the wrorst. In addition, it is found that,contracts of every quarter continuous performed better than contracts of next monthcontinuous on hedging for the spot with the same model.Through the analysis of the optimal hedge ratios and performance of stock indexfutures,the paper determines the most scientifical method to estimate the optimal ratiosand hedging performance. Through the results of the paper,the investors will deepenthe understanding of the index futures market of our country and hedging. It willprovide a certain significance to study other varieties futures contracts,and from amacro perspective,it will provide a theoretical support to determine the reasonableamount of hedging for futures regulators.