The Study Of Hedging Ratios Between Stock Index And Stock Index Future In China

Being vital for investors in China, CSI-300futures, unfortunately, have not beenthoroughly studied by researchers. To cover up the blank spots, we summarized andrephrased main ideas of relevant studies, introduced the content, feature and currenttrading situation of CSI-300futures, and described the principle and risk of futureshedging. Specifically, we presented four commonly used approaches of estimatinghedge ratio and chose B-VAR approach for our own empirical test. Using989sets ofdata from the originating of CSI-300, we calculated an optimal hedge ratio of0.9472and concluded its efficiency according to its good performance with He indicator.Basing on the estimated hedge ratio, we further tested the performance of hedgingwith timing strategy and found a better result on profit and risk.