Empirical Analysis For Effectiveness Of Optimal Hedge Strategies And Portfolio Based On ZhongGuo CSI300 Stock Index Futures

We all know that has long been a lack of tools for risk aversion in A-share market of China and lack of short mechanism. Thus the investors only exchang form a side. After brewing research for eight years and careful preparation for five years ZhongGuo CSI300 stock index futures as China's first stock index futures has been officially listed on CFFF(China Financial Futures Exchange) on April 16,2010. This means Stock index futures smoothly launching provides an important investment tool For investors or institutional investors can use its hedging function to avaid their assets suffing form system risk because of price's unfavorable fluctuating in stock market.we all know that all of the investors desirly choose optimal hedging strategy when they carry out hedging for their own assetes in order to escape form huge losses due to adverse changes in market prices.This may be a core issue for investors or institutional investors to estimate the hedge ratio of stock index all the time and the intention in this paper.CSI300 stock index futures and CSI300 stock index spot are the basic sample of studying in this paper and we empirically study the optimal hedge ratio of ZhongGuo CSI300 under different hedging strategies according to static hedging model Time-Varying hedging model,LPM model respectively. On the other hand we compare and analysis optimal hedging strategies using econometrics financial mathematics and inv-estment theory. The effectiveness of hedge ratio which have been estimated around three models are examined finally on the basis of risk return.The empirical result suggests that the hedge ratio estimated form Time-Varying hedging model would more excellent than the others static hedge ratio of ZhongGuo CSI300. But LPM model is more consistent with the fluctuating of financial market and its effectiveness of hedge ratio is the most effective of all hedge strategies.Some views and suggestions has been put forwarded about investors or institutional investors how to management their portfolio to escaping systematic risk in line with China's national conditions.