The Hedging Research Of HS 300 Stock Index Future And Open-ended Fund

Periodic outbreak of the financial crisis, investors are paying more and more attention to avoid risk. Hedging has become a new type of avoid risk tools. HS 300 stock index futures in our country was introduced in 2010, is still in bud. However the stock index futures provide the ways for investors pass on the risk. The systemic risk is through the political, economic and other external environmental factors to influence the price. That is to say they can't be avoided effectively by use of adaptive portfolio. Open-ended funds since launched, reflected the rapid development due to the inherent characteristics of open-ended fund. Investors now are interested more and more in open-ended funds. How to avoid systemic risk is the most imperative priority problems to solve for open-end funds. So this article use the HS 300 index futures go hedging of open-end fund and calculated hedge ratio and hedging effect.In this paper, based on the OLS, ECM, BGARCH, ECM BGARCH and correction of ECM-BGARCH model for the 15 representative open-ended funds (5 stock funds, index funds, five hybrid funds) for hedging, and calculates the optimal hedging ratios, and according to the optimal hedging ratio to measure the effect of hedging. The empirical results show that the open-ended funds systematic risk can be greatly reduced, the effect of hedging is significant, five kinds of hedging efficiency were above 90% under the model, by contrast, index funds effect of hedging outdo the hybrid funds and stock funds. The reason is that the index funds can effectively track index and stock index futures is also closely related to the direction, so the index funds and stock index futures to hedge can achieve a perfect fit The index funds of hedging efficiency can reach above 97%. In hedging model choice, GARCH model of hedging efficiency is higher than the other four kinds of model, so the GARCH model is the most suitable for our country at present stage in our country. For open-end funds investors can take advantage of the stock index futures hedging, especially the index fund can greatly avoid the systemic risk, guarantee the investors profit.