| Hedging refers to as the future of futures trading in the spot market temporarily substitute the futures market as a place to transfer risk through a reverse transaction to offset future increases in commodity prices or a decline in the price of risk posed trading activities. China currently has a stock index futures——CSI300stock index futures. CSI300stock index futures is based on the CSI300Index futures as subject matter, launched by the China Financial Futures Exchange in April2010. Since listing, the two-way trading mechanism with respect to the traditional one-way spot market trading mechanisms can only bargain buy compared to a major breakthrough. First, two-way trade mechanism balanced the market long and short power, more conducive to the smooth operation of the market; secondly, bi-index futures trading mechanism is conducive to the realization of different market players as well as hedging purposes. The basic principle is to use index futures to hedge the risk in the spot market.The past researches about CSI300stock index futures hedging efficiency focus on the Shanghai and Shenzhen300stock index futures hedging on the Shanghai and Shenzhen300Index, the results is that using CSI300index futures on the Shanghai and Shenzhen300index hedge preservation effect is very good. However, the CSI300Index is not available for trading, investors are also almost impossible to build in accordance with the index constitutes a combination of cash, so using CSI300Index as the underlying hedge study is far away from the investors, lower practical value, and not a true reflection of the hedging efficiency. In reality, the funds held huge stock portfolio, they are the most common use of stock index futures to hedge. The stock portfolio companies held by the fund there are two types of hedge funds with highest demand:the first is index funds, index funds, including board index funds, index funds of small plates, the GEM index funds, these ETF index the underlying index funds generally have strong representation and active trading, a huge amount, to represent each sector trend. Increasingly active in the face of recent transactions and other sections of the GEM study whether the CSI300stock index futures can provide a good hedge is significance:second category is equity funds, equity funds means that more than60%of Fund assets are invested in equity, due to the combination of different stocks included in equity funds varies, we can not find the hedging efficiency of each fund, and randomly select the underlying stock to hedge study also has some chance, so I choose the first ten fund Awkwardness to build equity portfolio as a hedge object. Awkwardness of Fund shares in Shanghai and Shenzhen stock market refers to build equity portfolio, which can avoid picking randomly generated, and have strong representation.they can narrow the distance between investors and capital.Finally, according to the analysis, this paper obtains four conclusions:1.Investors can use index futures contracts to manage the risk of the stock market spot price, evidence shows that it can effectively reduce the stock portfolio price risk, the difference lies in the different hedging methods differ in the degree of risk reduction. Therefore, the use of stock index futures on the stock market stock portfolio risk management has a very important practical significance for investors.2.Through the optimal hedge ratios for OLS, VAR, ECM and GARCH model calculations were compared, using the estimated value of each model to calculate the hedge ratio and hedging efficiency are similar, hedging ratio values are concentrated in the vicinity of1; hedging efficiency gap among different model is not large.In this research, using ECM has the highest rate of hedging efficiency.3.The CSI300index futures to hedge the risk of Shanghai180ETF and Shenzheng100ETF have a good result; CSI300stock index futures for hedging portfolio fund Awkwardness increasing the efficiency of0.7793, indicating that the hedging effects of using CSI300index futures on the stock fund large holdings of portfolio are good; The hedging effect of using CSI300stock index futures on small plates ETF is0.5482, nearly half of the exposure, hedging efficiency is poor; while on GEM,which is hot recently, hedging effect is only0.3547, nearly two-thirds of risk is exposed, means than it does not have the ability to hedge. 4.Considering about the construction of China’s laws and regulations, the size of small plates and plates GEM, representativeness of small board and GEM, investors teams, futures trading experience, anti-manipulation and so on, we can see that China’s futures market has initially formed a relatively complete organizational system. Laws and regulations and objective factors, investor team, experience and index futures and other anti-manipulation already has launched a new stock index futures conditions, but the small board and GEM is still small and low trading activity. GEM refers to the basic conditions to achieve launch of stock index futures, but the small board index for the representation of small plates to be improved. Therefore, China should strive to enhance the size of the small board and GEM, and continue to enhance their representativeness, in order to launching a new future. |
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