Research On Hedging Of Stock Index Futures

Stock index futures have the functions of hedging, and it can avoid systemic risks effectively. And stock index futures will be debuted in China. Therefore, it has a strong practical significance for the research on the strategy of stock index futures, in particular, how to effectively use index futures to hedge for investors.This thesis explores emphatically the strategy of hedging on the basis of the theory of stock index futures transactions and hedging strategy. In Exploring the hedging strategy, it firstly established a mathematical model of stock index futures hedging, and the model shows that yield of expectations of portfolio composed of stock index futures consists of three parts, So it reflects essentially the actual significance of hedging, and reveals importance of controllingβ-risk and basis risk for the purpose of hedging of the stock index futures. The core of modem portfolio hedging is to determine the optimal hedge ratio, therefore this thesis explores the method of calculating the optimal hedge ratios, The calculation model of optimize hedge ratio mainly consists three categories: the future hedge ratio for minimum risk, the future hedge ratio for unit risk reward maximize and the maximize effectiveness. It studies problem of hedging on the futures market from the angle of minimize risk hedging, which regards the spot market and futures market transactions position as a portfolio, and the optimal hedge ratio is determined under the condition of the risk of capital portfolio. The weakness of the method of the future hedge ratio for minimum risk is that it is not considered to the rewards of hedge. The biggest difference between the calculation method of Units risk reward maximize the optimal hedge ratios and the risk minimization is that it caused a risk-free assets, its focus is not in risk reduction and risk reward, its goal is to gain the greatest risk reward units. This approach will enable the different investors bear the risk, and access to the corresponding rewards. The first two methods did not consider investors (hedger)' attitudes of risk and the expected price of the spot or futures. However, the hedger of the maximize effectiveness calculates the optimal hedge ratio through the establishment of investors utility function and calculus. By this method, investors consider the risk attitudes and the spot or futures price expectations. It closer to the actual better than the first two methods than previous sets of security. However, this approach has its drawbacks, because different investors only have different utility function, but also utility function will also change for the same investors with a different time, different prices. Therefore, the operability is not very good. In this thesis, it explores the use of stock index futures on the composite securities hedging, and established a multi-target programming model of hedging. Finally, An Empirical Analysis was done on basis of the Shanghai and Shenzhen 300 Stock Index Futures (simulated trading data).