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28 1 Vol.28 No.1 2013 2 JOURNAL OF SYSTEMS ENGINEERING Feb. 2013 MRS Copula-GJR-Skewed-t 1,2 1 1 1 , , , (1. , 410082; 2. , 410082) : Copula GJR-Skew-t, 4 . : ; , ; , Copula , . : ; ; Copula : F830.91 : A : 1000−5781(2013)01−0083−11 Hedging of stock index futures based on Markov regime-switching Copula-GJR-Skewed-t model 1,2 1 1 1 Xie Chi , Yu Cong , Luo Changqing , Wang Gangjin (1. College of Business Administration, Hunan University, Changsha 410082, China; 2. Center of Finance and Investment Management, Hunan University, Changsha 410082, China ) Abstract: This paper constructs a GJR-Skew-t model based on Copula functions with Markov regime switch- ing to estimate the minimum variance hedging ratio between the returns of stock index futures and spots in four Asian markets. The empirical results show that the risk mitigation degree of the dynamic hedging models is higher than that of the static models. Based on the analysis of the variance reduction of hedging portfolio, the dynamic models are more effective than other models. Moreover, the proposed Markov regime-switching Copula-GJR-Skewed-t model can gain higher revenues than the traditional models except for the Japanese market, which means that our model contributes to reduce the cost of hedging. Key words: stock index futures; hedging; Markov regime switching Copula function 1 , . . . : 2011−09−15; : 2012−03−22. : (07AJL005); (2010GXS5B141); (IRT0916); (09YJC6