The Csi 300 Index To Hedge The Effect Of Empirical Research

Hushen 300 Index as integrate index of Shanghai Composite and Shenzhen Component has a well-applied prospect. On the basis of Hushen 300 Index, we could design and constitute different hedging strategies, which could make up the lack of Short Mechanism in China security market, and hedge the market risks of security investment portforlios. This paper integratedly applied Risk Management Theory, Hedging Theory, Statistics and Econometrics methods in the analysis of Hushen 300 Index'applications in market volatility, information transfer, hedging and risk management study. Especially, on the expectation of China first Index-Future, this paper designed Hushen 300 stock price Index-Future, and systematically compared its different hedging effects on Index Funds.Firstly, this paper empirically analyzed the intraday dynamic relationships between the return of Shanghai Composite,Shenzhen Component,Hushen 300 Index. Using intraday high-frequency data and GARCH (1, 1) model, classified information mixture distribution GARCH model and Granger causality analysis, we find Hushen300 Index as exclusive mutual index has significant intraday correlations with Shanghai Composite and Shenzhen Component.Secondly, on the basis of the design of Hushen 300 stock price Index-Future, the thesis empirically applied Minimum Deviation Model to analyze the hedging effect of Hushen 300 Index-Future on End-Closed Index Funds, and ascertained the optimal Hedge Ratio.This thesis selected the common Open-End Index Funds and Exchange-Trade Funds to constitute the hedging strategies with Hushen 300 stock price Index-Future respectively.The thesis analyzed the volatility of spot-future returns and the risk-avoiding effect of these hedging strategies.Finally, this thesis constituted Hushen 300 Index-Funds and Hushen 300 Index-Futures hedging strategies with mutual object index. Further, this paper made the evaluation on the performance of hedging strategies portforlio, and risk management assessments. Through the empirical researches, we find that Hushen 300 Index has significant effects on the derivatives object-index supply, risk-avoiding hedging instruments such as Index-Futures in the constitution of hedging strategies. On the basis of the empirical study and analysis on the applications of Hushen 300 Index, this paper suggests valuable advices and thinking for hedging strategies and risk control of financial index derivatives.