Empirical Research On Dynamic Hedging Strategy Of Stock Index Futures

Stock index futures on the stock index for the subject of the financial futures products,1982was born in America Kansas City Commodity exchange. Immediately thereafter, the UK, Japan, Hong Kong and other countries and regions also has launched stock index futures trading. After20years of continuous development and improvement, stock index futures has become the financial market of the most dazzling derivative products.Stock index futures in China has experienced development of a long preparation, from the Hai Nan stock exchange in1993launched the first in A stock index and Shenzhen composite index being the subject of the stock index futures products, In September8,2006, China's first financial futures exchange--Chinese financial futures exchange in Shanghai listed in Shanghai and Shenzhen300stock index futures simulation, also in the same year to start trading. Stock index futures trading on the improvement of the stock market trading function, perfecting stock market price mechanism, reduce the transaction cost, stock investors to provide more price risk avoiding mechanism so as to have an active role. Therefore, the stock market of the existence and development of stock index futures market needs, can effectively improve the securities market function and mechanism, avoid stock market's systematic risk.Papers from the stock index futures is the inevitable result of the development of start, the arbitrage of stock index futures mode undertakes study,2010in April16th of that year, investors awaited the CSI300index futures in the listed transactions, A stock market then into bilateral era. The paper uses the coefficient dynamic estimation of stock index futures hedging ratio, and the use of closed-end funds-Hong Yang fund and the CSI300stock index futures market data to carry out empirical research, can analyze the dynamic estimation of optimal hedging ratios and hedging effectiveness. At the end of the thesis to the stock index futures of our country construction and put forward some reasonable suggestions of stock index futures in China, promote the benign development of the market.