A Study Of The Basis Of The Shanghai And Shenzhen 300 Stock Index Futures Base On ES Model

Stock index future has price discovery, risk aversion and improving the efficiency of capital allocation and other functions. On April 16, 2010 China also officially launched the Shanghai and Shenzhen 300 stock index futures, which is a major milestone in the development of China’s capital market. Leverage, linkage and diversity Features of intertemporal index futures, well make up for deficiencies in financial markets, not only can improve the price mechanism of the stock market but also greatly reduce transaction costs, and give the majority of participants an hedging investment tool.The launch of the Shanghai and Shenzhen 300 stock index futures completely changed the status that China’s financial market is lack of risk management tools, and it also faces the challenge that the stock index futures trading has highly leveraged huge risk.Basis is the difference between the stock price and the stock index futures price,because the spot price and futures price volatility is inconsistent, and thus the risk-based uncertainty caused by fluctuations in the difference is called basis risk. If the basis is favorable direction toward change, not only can get better hedging effect, but also can get additional profits; on the contrary, it not only will affect the hedging effect, or even suffer losses. So for hedgers and arbitrageurs, the risk of stock index futures on the base difference is mainly reflected in the fluctuation of uncertainty. Therefore, the study of the Shanghai and Shenzhen 300 stock index futures basis risk has a strong practical significance for China’s financial markets. This article will study China’s Shanghai and Shenzhen 300 stock index futures, and then measure the difference between the riskbased stock index futures, finally empirical research basis risk prediction the Shanghai and Shenzhen 300 stock index futures.Since the financial time series are asymmetric leptokurtic, using normal distribution to calculate is inaccurate, and asymmetric Laplace distribution can fit the asymmetric leptokurtic characteristics of the financial time series.So I use asymmetric Laplace distribution to fit the Shanghai and Shenzhen 300 stock index futures basis, establish asymmetric Laplace distribution of expected shortfall model to analyze the volatility of Shanghai and Shenzhen 300 stock index futures, calculate values of the model of ES and VaR, VaR and ES values were compared with the actual fluctuations in basis, try to find out how well ES and VaR fit the real basis, the effectiveness of VaR and ES weretested respectively by using the likelihood ratio test method proposed by Kupiec in 1995.Test results show that the ES model of asymmetric Laplace distribution can fit the Shanghai and Shenzhen 300 stock index futures basis risk effectively.