| April 16,2010 in Shanghai and Shenzhen 300 Index futures contracts listed in the China Financial Futures Exchange, the official start of China's stock index futures trading, stock index futures by stock market investors to avoid market risks. With the majority of investors are gradually increasing the level of investment, some investors will take the initiative to carry out hedging operations. Investors will use more scientific methods of hedging model, combined with the current macro and micro economic situation, to determine hedging strategies. Stock index futures hedging is more meaningful to institutional investors, when they had a premonition when the stock market will fall, for reasons of liquidity, institutional investors can not immediately sell the stock immediately to hand. In order to reduce losses, a number of institutional investors can do quite the opposite direction and futures, the time can be achieved in the future profitability of a market to make up for the loss of another market. In recent years, many foreign experts and scholars on the hedging carry out studies, the core issue is what hedging strategy will have better results.We hedge ratio can generally be divided into constant and time-varying hedge ratio hedge ratio, time-varying hedge ratios have a variety of estimation methods. In many hedge ratio estimation method, to find a better estimation of hedging effectiveness is of great practical significance.The main contents of this paper is the first stock index futures hedging on the domestic and foreign literature were compared to the ratio of comprehensive, accurate, and immediate overview of the system, followed by a detailed description of the BEKK-MVGARCH, CCC-MVGARCH and DCC-MVGARCH estimation again is to use OLS, BEKK-MVGARCH, CCC-MVGARCH and DCC-MVGARCH method to estimate the Shanghai and Shenzhen 300 stock index futures hedge ratio, based on the last is the use of "risk minimization" and based on the "utility maximization" of the evaluation model the effect of these methods were compared. The main conclusions of this paper are:(1) in the Shanghai and Shenzhen 300 Index and the Shanghai and Shenzhen 300 stock index futures return series of the GJR-GARCH model estimation results, we can see on the Shanghai and Shenzhen 300 index return series of the leverage effect is more obvious, while the Shanghai and Shenzhen 300 stock index futures on return series of the leverage effect is not obvious.(2) evidence derived based on OLS, BEKK, CCC and DCC models estimate the hedge ratio, the four models estimated the average hedge ratio than the traditional hedge ratio "1" is small, the traditional set of period to hedge the cost of hedging is relatively large. DCC-based model to estimate the average time-varying hedge ratio is relatively small in the four models, based DCC model to estimate the hedge ratio to better control the cost of hedging.(3) whether it is from the "minimal risk" or "utility maximization" point of view, based on the BEKK, CCC and DCC models estimate the effects of time-varying hedge ratio than the OLS estimate based on constant hedge ratio effect.(4) from the "risk minimization" point of view, the BEKK, CCC and DCC models estimate the effects of time-varying hedge ratio comparison, DCC's best, DCC model to better estimate the hedge ratio. If the hedge in the risk control purposes, it can be estimated according to DCC-GARCH time-varying hedge ratios for futures positions held by some to adjust to better hedge their risks.(5) from the "utility maximization" point of view, the BEKK, CCC and DCC models estimate the effects of time-varying hedge ratio comparison, CCC and DCC results significantly better results than the BEKK, CCC, however, than the DCC effect. DCC model is based on the improvement of the CCC model comes, DCC model increased the correlation coefficient of time-varying characteristics, but based on the comparison of utility maximization, based on DCC-GARCH model to estimate the effectiveness of the hedge ratio is not as CCC-GARCH model. From the foregoing, taking into account the hedging portfolio returns in the case of comparison, the advanced model (DCC) may not be able to obtain better results than the previous model.The novelty of this paper:from the Shanghai and Shenzhen 300 stock index futures hedging empirical research shows that:If it is out of risk minimization perspective, DCC model is the best choice. If the investor is to consider the effectiveness, DCC model is not the best choice. Research areas for further improvement:(1) the limited number of samples may not fully exploited the model prediction. (2) This paper does not consider the actual process of hedging transaction fees issue, the time-varying hedging process, the operation will frequently produce a large part of the transaction costs. (3) This sample data is only used as a research month continuous data, without considering the other contracts... |
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