The Empirical Research On Hedging Of Hushen300 Stock Index Futures And 50ETF At The Initial Stage

April 16,2010, China's first stock index futures--the hushen 300 stock index futures launched successfully. Now in her infancy, the main purpose of the management is giving full play to its hedging function,giving a platform for investors to shift their risk, Rather than reduce it to a purely speculative market.This is also a key factor to ensure the healthy development of stock index futures.Shanghai 50ETF is China's first index fund, By copying the sample of shanghai50 stock index, it avoid most of the non-systematic risk. But the systemic risk has reached 96.6816%. The successful launch of stock index futures funds an opportunity to reduce their systemic risk such as shanghai50ETF.It will change the previous situation.We based on the mature hedging theory in foreign countries.By using the classic hedge ratio calculation model OLS, ECM, BGARCH, ECM-BGARCH and modified ECM-BGARCH models, we calculate the optimal hedge ratio of shanghai50ETF and compare the hedging effectiveness of the models.And choose a suitable model for our stock index futures market finaly. Most importantly, this paper make a real empirical research based on the latest data since the stock index futures launched five months ago.we constructed two hedging portfolio for shanghai50ETF with static and dynamic hedging methods. And calculate the daily profit and loss of the hedging portfolio. Finally we compare the hedging effectiveness of different methods under the framework of the risk minimization. Empirical results are as follows:1. In the static hedging, each model in the daily data and weekly data on the hedge ratio and hedging effectiveness is similar to similar but in the monthly data BGARCH modle is the best hedging model, while the modified ECM-BGARCH modle is the worst one.2. Dynamic adjustment of the hedging strategy is better than static hedging strategy, In the dynamic adjustment strategy,0.02 as the critical point of the dynamic adjustment strategy is worse than adjuste every three days.