The Basis Risk Research on Hedging Hu-Shen 300 Stock Index Future Simulation Trade

摘要：

Basis risk is from the margin of spot price and future price. There are five factors which affect basis risk. They are spot price, stock index average bonus ratio, maturity term and policy factors. Investors face basis fluctuate risk when hedging futures. Hu-Shen 300 stock index future IF0709 as example, it analysis how to adopt hedging strategy based on the basis risk.

关键词： Basis Risk Hu-Shen 300 Index Stock Index Future Hedging

作者: Zhou Li

作者单位: School of Information, Beijing Wuzi University, Beijing, P.R.China, 101149

会议类型: 国际会议

会议名称: The 15th International Conference on Industrial Engineering and Engineering Management(IE&EM2008)(第十五届工业工程与工程管理国际学术会议暨中国机械工程学会第11次工业工程年会)

会议地点: 郑州

会议语种:英文

在线出版日期: 2008-09-20（万方平台首次上网日期，不代表论文的发表时间）