The Empirical Analysis Of Optimal Hedge Rate Of Csi300

This thesis mainly study on the first stock future—csi300 exponential phasestorage space which will be launch by our country. Stock futures is shortened fromfutures of the stock index. Now it has already developed the quickest stock classproduct in the world, there are hundred kind of index class stock contract, the newvariety is constant increasing. The csi300 is the new product which will enrich ourcountry stock class variety, giving the investor more investment choice, at the sametime provide a hedge and carries to our country's investor on the arbitrage the tool.This article main encompassment studies the undulatory of our country stock marketand the investor how to avoid the investment risk and choice most superior hedgeratio. Using mathematics gauging device, taking the Shanghai deep 300 indexon-hand merchandise historical data as the object, surveying ratio average value,standard deviation, kurtosis coefficient and skewness coefficient of Shanghai deep300 index date. It has confirmed our country Stock market and South Korea Stockmarket is closer, has the emerging market characteristic which has big fluctuation ofreturns, comparing with the s&p500 and the kospi200. Using OLS model, selecting21 stocks as a sample, then i calculated their optimal hedge ratio of each one andwith thecsi300. And concluded ratio correlation coefficient between the stock datereturns ratio and csi300 returns, and the stock system risk is the primary factor whichaffects the effect of hedge has nothing with the hedge effect.this paper divided into six parts, the first chapter is introductory remarks, introducedthe article research background as well as the csi300 future related knowledge; thesecond chapter research the theory of volatility; according to the second chapter, thethird chapter analyze the volatility of csi300 basis on the historical data ofindices; The fourth and fifth chapter mainly introduce the hedge theoretical model,and using smallest risk method and the traditional regression analysis to calculate 21 sample stocks and optimal hedge rate between investment portfolio of these 21sample stock which have the same share and thecsi300, Sixth chapter is thesummary, introduces the paper conclusion and the research deficiency.