Study On The Optimal Hedging Ratio Of CSI 500 Stock Index Futures

At present,China's stock index futures mainly include Shanghai and Shenzhen 300 stock index futures,SSE 50 stock index futures and CSI 500 stock index futures.The CSI 500 stock index shares are relatively high in the GEM and SME board stocks,so the CSI 500 stock index can be used.To reflect the price performance of growth stocks,and growth stocks are always the main theme of investment,but high income means high risk,so CSI 500 stock index futures can be better as a tool for small-cap stock hedging,hedging ratio As the core of hedging,it is the most important research of scholars in recent years.This article is in this great atmosphere and background,the in-depth study of the optimal hedge ratio of China Securities 500 stock index futures.Based on the research of a large number of related literatures,this paper selects the logarithmic rate of return data of CSI 500 stock index and stock index futures as the research data.In the aspect of model selection,this paper improves the static model used by the predecessors,using MATLAB software,The static hedging model window is dynamic,and the resulting hedging ratio is in a dynamic sequence,which is conven-ient for comparison with the hedging ratio sequence obtained by the dynamic hedging model.In this paper,the dynamic kinetics of OLS? B-VAR,?ECM and Copula-GARCH models are used to study the optimal hedge ratio of CSI 500 stock index futures.The results show that the dynamics of the hedging ratio dynamics of the OLS,BVAR?ECM models and the Copula-GARCH dynamic model are similar,especially the OLS?B-VAR?ECM models after window dynamics.The trend of the hedging ratio dynamic sequence of these three models is almost the same as the numerical value,which indicates that the autocorrelation,heteroscedasticity and other problems in the financial sequence are hedged by the dynamic OLS?B-VAR and ECM models.The influence of the hedge ratio is small,under the principle of risk minimization,the hedging effect of the four model hedging ratios is good,the hedging efficiency is above 76%,and the ability to avoid risks is strong,among which Copula-GARCH model The hedging efficiency is the highest,and the dynamic OLS model is closely followed.Under the principle of unit risk return maximization,the hedging effect of the four model hedging ratios is good,and the highest hedging efficiency is still Copula.-GARCH model,followed by dynamic OLS model,but the unit risk return after hedging decreased compared with before hedging,indicating that CSI 500 stock index futures cannot In order to ensure that consumers avoid risk and obtain high returns,investors can only obtain certain additional benefits on the basis of risk avoidance,when using the offsample data to verify the hedging effect of each model hedging ratio,it is found Under the principle of risk minimization,the model with the highest hedging efficiency derived from the sample data is still the Copula-GARCH model,but the dynamic OLS model is no longer the optimal model,but is dynamic.The ECM model's hedging efficiency is second only to the Copula-GARCH model.Under the principle of unit risk return maximization,the most efficient hedging efficiency is the Copula-GARCH model and the dynamic OLS model,which is consistent with the conclusions in the sample.Therefore,both the theoretical and practical Copula-GARCH models are the optimal models for the CSI 500 stock index futures hedging,and the ability to avoid risks is the highest,if investors pursue risk minimization,they can choose Copula-GARCH and dynamics.The ECM model carries out hedging on the CSI 500 stock index futures.If investors pursue the maximization of unit returns,they can choose the Copula-GARCH model and the dynamic OLS model for hedging,and choose the model according to their respective needs,but Investors need to rationally understand hedging and reasonable choice of investment quota.Do not use hedging as the only means to avoid risks.