| Since the stock index futures officially listed in April,2010,the stock index futures have been playing an increasingly active role in China financial market.Stock index futures make trading rich,at the same time,it also give investors a way to avoid risks.Hedging is one of the main methods to avoid risk of price fluctuations in the operation and the spot market reverse transactions.In the hedging strategy,hedging ratio is the key point to the operation instruction.According to the classic hedging theory,on one hand,calculation of hedge ratio is related to the relationship between the related variables,on the other hand,it is related to the volatility between the related variables.To calculating the hedge ratio accurately,the correlation between the stock index and the futures index as well as the volatility between them should be focused on.In the last years the linear correlation coefficient is most used to measure the correlation between the stock index futures,but now it has been unable to meet the diverse and complex changes in price.The reason is the measurement can just get a fixed number,but it can not reflect the complex relationship between the stock and the futures index.In addition,risks of the price volatility between the stock index and the futures index are usually measured by the conditional variance according to the GARCH models,this will reduce the accuracy at certain extent because of its low frequency data.In this paper,problem of the stock index and futures hedging ratio are studied.In recent years,the Copula theory plays more and more important role in the study of variables correlation.It has many advantages,such as,to study the nonlinear relationship between the variables,to establish the marginal distribution models without changing the results of Copula.Therefore,based on the Copula theory,relationship between stock index and the futures is studied.At the same time,considering the realized volatility as the unbiased estimation of the integral volatility,its theoretical advantages did not play out in times of low frequency data.Now the high frequency data can be obtained conveniently,but the application of realized intraday volatility has not been attempt in the hedging strategy.To our study,the realized volatility is used to measure the volatility of stock index and the futures price,this also provide accurate basis to the calculation of hedge ratio.In this paper,HS300 stock index and the index futures prices are used as our research objects,on the one hand,considering the complex and the dynamic processes of the stock market,Copula theory is introduced to study the nonlinear and dynamic relationship between the objects.On the other hand,considering the more accurate estimation of the stock's and futures market's volatility,the realized volatility theory is introduced to calculate the risk ratio.Then the dynamic time-varying hedging ratio according to the first two steps is calculated out,it gives us many meaningful results.Our results showed that,there's significant volatility clustering phenomenon in the price return series of HS300 stock index and index futures.Using of the dynamic Copula model in portraying the two market structure is better than the static Copula model.The relationship between the two markets has also been shown to have time-varying feature.In the tail relationship of HS300 stock index,and stock index futures markets,the correlation between lower-tail is slightly lower than the upper one,but there is no significance difference between them.This indicated that the correlation between China's stock market and the index futures market is mostly symmetry,with the rise of the trend slightly higher than the down trend.Finally,through the calculation and the comparison of the high frequency hedge ratio,we find that the hedging performance based on the time-varying normal Copula model is more ideal,and is better than the traditional static hedging ratio and the SJC-Copula model which considering the relationship between the upper and lower-tail singly. |
PDF Full Text Request