Hedging Ratio And Performance Of Sino-US Stock Index

China's stock index futures market has been established for a short time,the system is not perfect,the market is still not mature,investors still lack a correct understanding of stock index futures,and the US stock index futures market has experienced long-term development,has been very mature and mature,the set of spot The value of the period has played a huge role.The spot market is inseparable from the futures market.As China's stock market joins MSCI,China needs to improve itself by learning from the development experience of the US stock index futures market,thereby providing Chinese investors with a more efficient stock index futures market and avoiding stock price fluctuations risk.Since no one has previously compared the hedging of Chinese and American stock index futures,this paper makes a comparative study on the hedging effect of stock index futures between China and the United States.By selecting the SSE 50 stock index spot and the US mini Dow Jones stock index spot price from June 21,2016 to April 9,2019,the ordinary least squares(OLS)and error correction model are used on the principle of risk minimization.(ECM),generalized autoregressive conditional heteroskedasticity(GARCH),exponential generalized autoregressive conditional heteroskedasticity(EGARCH),and dynamic condition-dependent multivariate generalized autoregressive(DCC-GARCH)to estimate optimal hedging ratio and hedging Preserving performance,comparing the hedging performance under different models of Sino-US stock index futures.The results show that the US Dow Jones stock index futures market hedging performance is higher than the SSE 50 stock index futures market,the United States can transfer 77%of the risk,China transfer risk is 75%,the US hedging cost is higher than the Chinese market,DCC-GARCH model Hedging is more suitable for US Dow Jones stock index futures.The static ECM model is more suitable for SSE 50.The US futures market has better interpretation of spot than China.Through the comparison of empirical results,this paper proposes targeted recommendations from investors and regulators,and hopes to promote the healthy development of China's stock index futures market.