The Optimal Hedge Ratio Of CSI 300 Index Futures Research

The Chinese securities investment funds have developed more than twenty years. Most of these institutional investors will regard profit maximization as the primary goal, but what comes with is the corresponding higher system risk. So most of the fund managers will pay more attention to avoid the corresponding risk in the investment process. However, due to Chinese stock market fact which lack of appropriate mechanisms for selling out, in order to hedge against systemic risk investors sometimes will take the measure of lighting up operation. And in April 2010, with the formal launching of CSI 300 index Chinese stock market has entered a new stage. As an important product of financial derivatives, risk-averse investors take advantage of this new financial product to ward risk and lock the profits.This paper clearly introduces stock index futures and its function. We summarize the basic theory of hedging and at the same time present several calculation models of stock index futures optimal hedging ratios. After that we use the corresponding performance evaluation criteria for the evaluation of the results and try to elect the best for institution investors.As the CSI 300 index futures regard the CSI 300 Index as the underlying asset, we choose the CSI 300 index on the spot market as the research object. We select 969 data from 16th April 2010 to 11th April 2014 as the object of sample study. Meanwhile in order to maintain continuity and liquidity of data, we select the daily trading data of the main contract. Based on comparing with the OLS model, B-VAR model, ECM model and GARCH model, we obtained the most suitable model for Chinese institution investors in the minimum risk framing.