Stock Index Futures Market Hedging Regression Analysis

There are two kinds of risk existing on the stock market, namely systemic risk and non-systemic risk. Non-systemic risk can be distracted by portfolio investment.But it must be relevant tools to avoid systemic risk. Thus stock index futures is just such a tool to avoid risk. And Chinese stock market has possessed considerable scale under conditions existing. Firms went public at Shanghai and Shenzhen stock exchanges have reached1,215,gross value totaled 4.4 thousand billion Yuan,and funds came into the market have been more than 40 to the end of October,2002. And the opening funds and the entry of China into the WTO both expect to improve stock market. It is necessary to develop stock index futures.However, China faces some restrictive factors to develop stock index futures, such as market limitation,law lacuna,lack of Short selling and so on;besides because of its special work style,it is the big source of huge risk。It is necessary to do the work of economic analyse,institution innovation and risk analyse。It is also necessary to learn from Xinhua FTSE China 25 Index and H Index。Hedging of stock index futures is the primary trading strategy。This article use regression analysis tools to analyse the hedging。Through data analysis to observe the relationship between stock index futures market and spot market ,set up regression equation,confirm hedge ratio。Investor can use regression equation to forcast rates of returns of stock index。At present China stock index futures saled abroad include:Xinhua FTSE China 25 Index futures, H Index futures and COBE CX futures。This article use SPSS Stat. software to analyse the data from future market and spot market between 2003 and 2005,and set up unitary regression equation。This article also research the hedge ratio when investment portfolio market value is smaller and the number of stock is less。At the last this article research feasibility of bestraddlling market trading with the two index futures。...