Hedge ratio estimation and hedging effectiveness in Chinas index futures market

摘要：

This research uses the Shanghai and Shenzhen 300 (HS300) stock index as the substitute for HS300 stock index futures to estimate the optimal hedging ratios and examine the hedging effectiveness in Chinas index futures market for the period January 4th, 2005 to August 29th, 2008.The optimal hedge ratios are calculated from the OLS regression model, the bivariate vector autoregression model (BVAR), the error correction model (ECM), the GARCH model and the multivariate GARCH model (MGARCH). Comparisons of in-sample hedging performance imply that the GARCH model is superior to the other models in terms of risk-return trade-off and the OLS model is superior in terms of risk reduction, while comparisons of post-sample hedging performance indicate that the GARCH model and the ECM model outperform the other models in terms of risk reduction and risk-return trade-off, respectively. Finally, all test results indicate that index futures could be very effective in hedging risks in Chinas stock markets.

关键词： HS300 stock index futures hedging ratios hedging effectiveness hedging models

作者: Yi DING

作者单位: Department of Finance Saint Marys University,CA

会议类型: 国际会议

会议名称: 2008 International Conference on Risk and Relianility Management(2008风险与可靠性管理国际会议)

会议地点: 北京

会议语种:英文

页码: 206-211

在线出版日期: 2008-11-10（万方平台首次上网日期，不代表论文的发表时间）