Research On The Efficiency Of Stock Index Futures Hedging Under The Background Of Gradual Expansion Of Margin Trading

The pilot program of margin trading and short selling was officially launched on March 31,2010,which marked the end of China’s long-standing unilateral market pattern.Since the pilot program was launched 12 years ago,the CSRC has gradually expanded the scope of underlying securities for margin financing and short selling in accordance with the principle of "pilot first and gradually push forward".On April 16,the same year,China Financial Futures Exchange officially launched CSI 300 stock index futures,which not only improved the market system,but also greatly promoted the development of stock index futures hedging.Whether it is from the perspective of policy opening gradually in the pilot preparation stage or from the perspective of practice of the seven times of margin trading expansion,the practice of margin trading business in our country shows significant characteristics of gradual expansion.So,we can’t help but ask: in the background of the increasing number of margin trading objects,this will affect the efficiency of investors to choose stock index futures to hedge? From the perspective of the choice of dynamic and static hedging efficiency models,which model is better? Suppose the one-time expansion situation and contrast progressive expansion situation,what influence will be on the volatility of our country stock market and the hedging efficiency of stock index futures?Therefore,on the basis of summarizing relevant literature at home and abroad,this paper selects the underlying stocks of margin financing and short selling and CSI300 stock index futures to construct a hedge portfolio,and divides them into two groups through existing data.The first group is to make six groups of progressive expansion samples of stocks included in each expansion according to the expansion sequence.The second group is to first find the corresponding daily circulating market value of 1,563 high-quality stocks selected by the sixth expansion in the first five periods,and then make these data into six sets of simulated one-time expansion samples.In the empirical method,static hedging model(OLS model)and dynamic hedging model(BEKK-MVGARCH model and DCC-MVGARCH model)were used to calculate the optimal hedging ratio and hedging efficiency of progressive expansion group and simulated one-time expansion group respectively.According to the empirical analysis data,the trend of the hedging ratio and efficiency of the progressive expansion group is analyzed first,and then the ratio and efficiency of the gradual expansion group and the simulated one-time expansion group are compared.The empirical results show that: first,with the increase of the underlying stocks,the hedging ratio and efficiency show an increasing trend;Second,according to the empirical results of the progressive capacity expansion group,although the OLS model is better than the two dynamic hedging models to a certain extent,the efficiency calculated by the dynamic hedging model is significantly better than the OLS model in the fifth capacity expansion,and the DCC-MVGARCH model is better than the BEKK-MVGARCH model.It is more suitable for the development status of margin lending and short selling,so this paper suggests that DCC-MVGARCH model can be used as a better model to study this aspect in the follow-up research;Third,from the comparison of the data of the two groups,it can be seen that the ratio and efficiency of the simulated one-time expansion group are better than that of the gradual expansion group.However,considering that margin and short selling business in China is still in the development stage and the speculative nature of China’s stock market,it is still necessary to adopt the gradual expansion mode.Based on the empirical analysis results,this paper puts forward suggestions from three aspects:steadily implementing the capacity expansion policy,optimizing the investor structure and strengthening the access and training for investors,and strengthening the accuracy and standardization of information disclosure,hoping to provide possible reference indicators for the majority of investors and regulatory authorities.