Research On Hedging Strategy Of Shanghai And Shenzhen 300 Stock Index Futures

The Shanghai and Shenzhen 300 stock index futures'formally trading unveiled the prologue of the redevelopment of Chinese financial futures, and filled the historical blank of our country having no formal financial futures after suspended the treasury bond futures in 1995. As one of the important functions of stock index futures, hedging is a new problem which needs to be studied primarily by the financial market investors. The Shanghai and Shenzhen 300 stock index futures provide a good systematic risk hedging instrument for the institutional investors which be represented by the mutual funds.In this dissertation, firstly taking the data of the time span from October 1, 2005 to October 1, 2010 as the research object, we analyze the Chinese A-share market condition around the date of the introduction of Shanghai and Shenzhen 300 stock index futures, investigate the influence of the introduction of Shanghai and Shenzhen 300 stock index futures on the A-share motherboard market by means of the GARCH and TGARCH models including of one dummy variable, and reach a conclusion that the introduction of Shanghai and Shenzhen 300 stock index futures in general does not have a significant impact on the volatility of A-share motherboard market. Secondly, by taking the data of the time span from May 4 to October 1 in 2010 as the sample data, and using OLS model, B-VAR model, ECM model and GARCH model, we estimate the optimal hedging ratio in the most ideal condition. Using the data of the time span from October 8 to December 31 in 2010, we examine the hedging effectiveness of those models in the most ideal condition. Lastly, we design the concrete operations processes for the passive portfolio hedging strategy and the active portfolio hedging strategy. By taking the data of the time span from May 4 to December 31 in 2010 as the foundation, and selecting the S&P/CITIC 50 Index (CSSP50) and a stock portfolio including 15 kinds of industry corporations whose stock shares be largely held by mutual funds as the research objects of the passive portfolio hedging and the active portfolio hedging, we make empirical studies on the two kinds of hedging strategies under the practical application condition, and provide the references for the follow-up hedging practical research.