Empirical Analysis on CSI 300 Index Futures Hedging

摘要：

This paper takes CSI 300 index futures as the research object, bases on actual market data, it calculates the optimal hedge ratio with VAR model, VECM model and GARCH model, analyses the hedging effectiveness, gets some corresponding results, and puts forward some recommendations for investors.

作者: Zhang Xiaoyan Chen Fan

作者单位: College of Economics & Management Three Gorges University Yichang City, Hubei Prov.P.R.China, 443002.

会议类型: 国际会议

会议名称: International Conference on Management and Service Science(2011年第五届管理与服务科学国际会议 MASS 2011)

会议地点: 武汉

会议语种:英文

页码: 1-5

在线出版日期: 2011-08-12（万方平台首次上网日期，不代表论文的发表时间）