The CSI 300 Index Futures Hedging Ratios And Effectiveness Research

Sixties and seventies last century the United States government pursues a policy of deregulation,led to the financial indicators,such as exchange rate and interest rate volatility;Plus tax cuts,which stimulate economic growth policy to stimulate the rapid development of the stock market.In this condition,the Kansas futures exchange(KCBT)in 1982 launched the world's first stock index futures contract only---value line index futures.China's stock index futures trading until April 16,2010 the official start of the trading,and in the CSI 300 index as the subject matter.The CSI 300 stock index futures is launched the first stock index futures in China,has a strong pioneering and representative.Stock index futures have futures hedging function,using stock index futures and spot the direction of the operation,to avoid the systematic risk of the stock market.Although listed on domestic stock index futures time is not long,but through the efforts of the various departments,domestic financial derivatives market is more mature,more and more accepted by investors,and according to the statistics,in 2014 the national futures market accumulative total volume of 2.505 billion hands,accumulative total turnover is RMB 291.98 trillion.In 2007,the Shanghai composite index fell from 6124 points to 1664 points,in May and July 2015,the Shanghai and around 5000 points to 3000 points,this can't explain our country stock market speculation and there are a lot of hype,by comparing the two crash,can be found for margin has been reduced a lot,a certain extent due to the existence of stock index futures.In general,the CSI 300 stock index futures introduced many opposite of stock cash market in China are produced great influence.In many influence,this article from the perspective of liquidity to the research of the stock index futures hedging ratio and its effectiveness.Although stock index futures contracts expire is compulsory for delivery,cannot calculate the liquidity,but at the time of stock index futues contracts expire holdings cannot one-time selling,result is hedging contrarian hedge risk mechanism will be failure,therefore,in the research of stock index futures hedging ratio and the effectiveness of the problem should be discussed before the stock market the existence of liquidity risk.In general,the liquidity of the spot market can be measured from four aspects of tighten and depth,flexibility and timeliness.The results show that the introduction of stock index futures significantly increase the liquidity of the spot market.The core issue of stock index futures in hedging is to determine hedging ratio.According to the research of the existing model static hedging and dynamic hedging has two kinds.And according to the existing literature can be found,more think dynamic hedging effect is better than static hedging effect.In this paper,on the basis of analysis of hedging theory development,the use of foreign research hedging ratio and performance of the most representative of the least squares(OLS)regression model,vector autoregressive model(VAR),error correction model(ECM)and generalized autoregressive conditional heteroscedasticity(GARCH)model were estimated the CSI 300 stock index futures on the Shanghai and Shenzhen 300 index spot from January 1,2015 to September 1,2015 to spot the hedging ratio,and by calculating the optimal hedging performance under different models.Empirical study results show that the generalized autoregressive conditional heteroscedastic model of hedging effect is the best,and using the least-squares regression model to estimate the hedging effect is the best.