Selection And Empirical Research On The Hedging Model Of Shanghai And Shenzhen 300 Stock Index Futures

With the maturing of the domestic financial derivatives market,investors in our country have gradually attached more importance to risk management.Because of its effective function of hedging,stock index futures are more and more widely used and gradually become an important tool for investors to avoid systematic risk in the market.Since the launch of Shanghai and Shenzhen 300 index futures in 2010,many domestic scholars have studied their hedging function.Based on the transaction data of Shanghai and Shenzhen 300 stock index futures from 2010 to 2017,this article estimates the optimal hedge ratio,and compares the effects of various commonly used static and dynamic hedging models.This article evaluates the performance of hedging using two different criteria of minimizing variance and maximizing utility,and then analyzes the performance of the various models under the bull market and bear market conditions.This paper finds that the dynamic hedging model performs better than the static hedging model if we take the risk reduction as the evaluation criterion without considering the market conditions' effect,and the GARCH model is the best one.While function as an evaluation criterion,the hedging performance of the model will be effected by the risk aversion.Specifically,when the degree of risk aversion is lower,the dynamic hedging model is more prominent,among which the DCC-GARCH model is the most stable.While with the increase of risk aversion,the static VAR model gradually becomes the most effective hedging model.In the bear market,if the risk reduction is the evaluation criterion,the GARCH model performs best,followed by BEKK-GARCH,and in the bull market,BEKK-GARCH slightly better than GARCH.If the utility value size is used as the evaluation criterion,the GARCH model is obviously better than other models in the bull market regardless of the degree of risk aversion,while under the bear market,the performance of various types of models is not consistent.The empirical results of this paper have important guiding significance for improving the stock market risk management.