Comparative Research On Effect Of Hedging With Stock Index Futures

Althought the futures came from speculating of tulip with its speculation fuction, its hedging function is been found by market. Then the hedging is widely uesd by most investors. The research of the hedge model is essential for the hedger and is a central point in theory study. With the advancement of hedge method, the hedge ratio becomes more and more accurate. So we achieved a more desirable risk hedging effect and succeeded to averse the risk of cash market.This paper is based on minimun variance model, and establish a nonlinear minimum variance futures hedging model with the way of minimum the risk of combination of futures and cashes. The advantag of this paper is using the theory of portfolio investment, risk nonlinear portfolio and dynamic hedging. Also this paper establish a comparison group- a nonlinear minimum variance future hedging model, with the theory of risk nonlinear portfolio and dynamic hedging. Then we compare the hedging effect of these models with comparative method. The empirical test shows that the hedging with portfolio of futures can be more effective than the hedging with single future in dispersing risks, increasing the hedging result and hedging the loss in cash market. At the same time, the dynamic hedging also can promote the accuracy of hedging. So this paper provide a new way to solve the hedging ratio.