Based On The Csi 300 Index Futures Etf Hedging

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. ETF (Exchange Traded Funds), which is a new kind of index funds product, have tremendous system risk because of its special investment characteristic. And index futures is just a effective hedging tool, by hedging ETF with index futures to reach the goal of avoiding risk and locking yield.This paper integrated applied CAPM theory, hedging theory and model, statistics and econometrics methods in the analysis of relationship between Hushen 300 index futures and market index and ETFs. Especially, on the expectation of China first index futures, this paper systematically compared Hushen 300 index futures's different cross-hedging performances on ETFs.Through the empirical researches, in the strategy of minimum variance hedging of ETFs product, Hushen 300 index futures has significant effects on hedging function and so realization the goal of hedging strategy that is risk avoiding. And we also find that the performances of three ETFs are not all the same on different hedging models and horizons, which also provide a reference for different ETFs investor on hedging operation.