Study On Comparison And Selection Of Hedging Ratio Model

Chinese stock market has a high risk,the traditional investment disperse strategy can only reduce the non systematic risk in market but can not reduce the systematic risk.Before the launch of stock index futures,domestic financial market,especially the stock market facing the systematic risk,once the market price has an adverse volatility,investors especially some large institutional investors would face the risk of huge losses to undersell assets,and this behaviour further intensified to the fluctuation of market price.China launched the Shanghai and Shenzhen 300 stock index futures in 2010,Investors set up hedging between stock index futures and the Shanghai and Shenzhen 300 index to reduce systematic risk of the investment.It can not only avoid of market risk,but also can obtain certain benefits when hedging is reasonable.Investors may face huge losses if the futures prices has adverse changes when hedging is improper.Therefore,the research about the optimal hedge ratio and model on futures have a very important practical significance for the majority of investors.This paper's research object bases on Shanghai and Shenzhen 300 index spot with 4 corresponding futures including futures contracts of the same month?next month?next season and every season.The research models contain three kinds of static models including OLS model,B-VAR model,ECM model,and four kinds of dynamic models including Diagnoal-BEKK model,CCC-GARCH model,Diagnoal-VECH model,DCC-GARCH model.It uses these models to make a comparison and selection research on hedging ratio and model.The sample data frequency types choose the low frequency data under the daily data and high frequency datas under 15 minutes?10 minutes?5 minutes and 1 minutes.The performance indicators determine the optimal hedging frequency data typesthe optimal hedging model,and the optimal hedge ratio.It adopts three dimensions of comprehensive analysis including futures contracts's different types?different hedging model?different frequencies data to found that low frequency data has a better hedging performance than high frequency data,the higher frequency of sample data the worse the hedging effect is.Different futures contracts don't have the same optimal hedging model,The optimal hedging model in 5 different frequency data under the month futures contracts were OLS model under static model,and next month futures contracts?next season futures contracts?every season futures contracts in the different frequency data have different optimal hedging model.The empirical analysis shows that,the optimal frequence data type is the daily data,the optimal hedging model of the same month futures contract is the OLS model,the optimal hedging model for other three kinds of contracts are dynamic model under the CCC-GARCH model.