考虑基差效应的沪深300股指期货对冲比率及其效果分析-hedge ratio of shanghai and shenzhen 300 stock index futures considering the base effect and its effect analysis.docxVIP

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考虑基差效应的沪深300股指期货对冲比率及其效果分析-hedge ratio of shanghai and shenzhen 300 stock index futures considering the base effect and its effect analysis.docx

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考虑基差效应的沪深300股指期货对冲比率及其效果分析-hedge ratio of shanghai and shenzhen 300 stock index futures considering the base effect and its effect analysis

AbstractStock index futures is an important financial derivative product, with risk avoidance as its main function. In most developed countries, the development of stock index futures has been quite mature. As an emerging capital market, financial risk in China has been increasing, which caused the loss of investors, and postponed the development of Chinese financial market. In order to alleviate this situation, CSI300 stock index futures was officially listed in the China Financial Futures Exchange on April 16, 2010. So, short position is now allowed, and the stock investors have more space and methods for hedging. So far, the CSI 300 stock index futures can only be traded by institutional investors, and to effectively use this product is an urgent and necessary issue.Through a thorough literature review, this paper summarizes the development of hedging theory and models. By, considering the characteristics of GARCH model, positive and negative basis and the squared of ones are added in the multivariate GARCH model as the exogenous variables, to calculate the optimal hedge ratio of CSI 300 index futures with basis effect. The sample data selected for forecasting the optimal hedging ratio and testing the hedging results are daily settlement price of CSI 300 stock index futures and closing price of CSI 300 stock index 655 data from April 16, 2010 to December 21, 2012. In this paper, different days have been selected for comparing the hedge results between optimal hedge ratio with and without basis effect.The results shows that, the effect of basis for the CSI 300 index futures’ and spots’ log price is not significant, the effect of basis for the CSI 300 index futures’ and spots’ log profit is significant; the hedge result of CSI 300 stock index futures with basis effect is better than that without basis effect, but this advantage is not obvious. With the increase of hedging time, the results converge. Some practical implications can be got from t