Research On Hedging Efficiency Of SSE 50 Stock Index Futures

A-share market in China's capital market is becoming increasingly important in the development of stock index futures in developed countries on the basis of experience,the China Financial Futures Exchange has launched the Shanghai and Shenzhen 300,the card 500 and the SSE three stock index futures Contract,and gradually improve the capital market in China short operation mechanism,to investors in China's capital market to bring a wide range of investment.Stock index futures as investors an important tool to avoid the risk of China has just launched just one year more than 50 stock index futures on the Shanghai stock index futures with the actual effect of hedging is very necessary.In the theoretical analysis,firstly,the concept and the principle of stock index futures are defined,and some theoretical foundation of predecessors of stock index futures are introduced.Based on the theory of modern portfolio investment hedging,the mechanism of hedging is analyzed.Construct hedging model,and calculate the expression of optimal hedge ratio.The purpose of this paper is to test the hedging effect of Shanghai 50 Stock Index Futures through the empirical method,and it has realistic value for Chinese A-share investors to realize high-low-risk investment.In the empirical study,two static models,such as least squares(OLS),error correction model(ECM)and vector autoregressive model(B-VAR)and binary vector error correction(ECM-BGARCH),And then using the Ederington model to compare the hedging rate of each model,and then calculate the optimal hedging efficiency.The results of empirical analysis show that the hedging efficiency of ECM-BGARCH model is higher than that of least squares model,error correction model,bivariate autoregressive model,hedging relationship is highly effective.The introduction of SSE 50 stock index futures can help investors in China A-share market to reduce the degree of investment risk,but not the complex dynamic model is better than the static simple model,OLS model portfolio returns the minimum standard deviation,in practice,OLS simple and easy to operate,the demand for precision is not very high investor,you can choose a simple hedging model.