HuShen 300 stock indez futures optimal hedging ratio

摘要：

The launch of HuShen 300 index futures contracts, which can improve the structure of Chinas stock market, will provide a way for the domestic stock market to hedge risk. On the basis of the introduction of the best HuShen 300 index futures hedging strategy, this paper focuses on the calculation of the optimal HuShen 300 index futures hedging ratio. Being different from most of the studies, this paper proposes a composite hedging ratio calculation approach and derives D-BEKK-ECM-BGARCH hedging ratio calculation model from the futures pricing theory. Empirical evidence on the hedging effect of the two models suggests that the stock portfolios risk of yield can be significantly reduced after hedging and the application of the D-BEKK-ECM-BGARCH model can get the minimum transaction costs without losing hedging effect.

关键词： HuShen 300 indez futures optimal hedging ratio CAPM model ECM-GARCH model

作者: Rui Liu Qiyue Xiong

作者单位: Economics and Management School, Wuhan University, Wuhan, 430072, China

会议类型: 国际会议

会议名称: 第八届武汉电子商务国际会议(The Eighth Wuhan International Conference on E-Business)

会议地点: 武汉

会议语种:英文

页码: 1372-1377

在线出版日期: 2009-05-30（万方平台首次上网日期，不代表论文的发表时间）