The Empirical Study Of Optimal Hedging Ratio Of CSI300Futures

Nowadays stock index futures, as one kind of the financial futures, has occupied a very important position in the whole financial derivatives transactions. So the study on how to calculate the optimal hedging ratio, then make the risk hedging through stock index futures becomes more and more necessary and meaningful for both the investors and the researchers, especially when facing the reality of high systemic risk in stock market and the immature stock index futures market which just got started3years ago in China, how to choose the right model to make the calculation of CSI300optimal hedging ratio according to our own conditions draws more attention and needs more study. This paper gives a brief review of the development of the futures optimal hedging ratio theory and the recent domestic and foreign studies on its calculation, then employs different econometrics techniques, for example OLS, B-VAR, ECM, GARCH model to calculate the optimal hedging ratio of CSI300during3different sample intervals from2010to2012. Then the paper puts the ratio into the next year transaction data to test its performance. Finally this paper concludes that quantitative analysis becomes more suitable for investors in China. B-VAR, ECM and GARCH model play better than OLS after horizontal and vertical analysis on the performance of these different models. On the other hand, the changes of the stock index futures market in these3years can be seen through the whole analysis process. Also the investors could get advices about the necessity to use use model and which model should be selected from our conclusion.