Empirical Research On The CSI 300 Index Futures Hedge Ratio

On June 1,2010,China’s CSI 300 stock index futures were formally listed on the stock market.Prior to the emergence of stock index futures,investors were generally incapable of making systemic risks in the market.However,the emergence of stock index futures and the hedging through the spot period have greatly reduced the systematic risks in the stock market.The key to this operation is to determine the hedging ratio.Therefore,how to get the best hedge ratio is the focus of a wide range of scholars.The subject of the Shanghai-Shenzhen 300 Index Futures is the Shanghai-Shenzhen 300 Index,which represents the great feat in China’s financial history.Therefore,studying the CSI 300 Index futures is of great practical significance for studying the best hedge ratio.There are many models that can determine the best hedging ratio,including the previous static hedging models and the later dynamic hedging models,common models includ OLS model,BVAR model,ECM model,ECM-GARCH Model and Copula-GARCH Model.The OLS model make simple regression,but the biggest drawback is ignored the residual autocorrelation.However,the BVAR model considers the residual autocorrelation and the calculation result more accurate.The ECM model substitutes the residuals of the regression between variables as an error correction term into the equation,which takes into account the long-term stationary relationship between variables.The improvement of the ECM-GARCH model over the previous three models is to consider the heteroscedasticity,further reducing the calculation error.The last Copula-GARCH model not only evades the defects in the above model,but also further embodies the "sharp peak and heavy tail" feature of logarithmic returns,further improving the model.In summary,the performance of hedging in several models should be from low to high is : OLS model <BVAR model <ECM model <ECM-GARCH model <Copula-GARCH model.Under the premise of cointegration test among variables,five models can be further used to determine the hedging ratio of stock index futures.The empirical results show that the stock index futures and the CSI 300 index passed the cointegration test,and the optimal hedging problem can be further studied.There is no contegrationship between SME index,GEM index and stock index futures,so it is impossible to further study the issue of the hedge ratio.Based on the principle of maximizing risk reduction,this paper calculates HE indicators under different models and determines the best hedge ratio.The empirical results show that the HE index calculated by Copula-GARCH model is the highest,the performance of the hedging better.Through this model,91.94% market risk can be reduced.According to the Copula-GARCH model,the best hedge ratio is 0.7486.At the end of the article,the out-of-sample test was used to test the stability and adaptability of the conclusion.It was found that the conclusion of this paper is also applicable to the data outside the sample.