Hedging with China Stock Index Futures-risk Management in Emerging Market
This paper addresses some practical issues that are similar to what a risk manager would be facing in emerging market, where derivatives are rare and short selling is not allowed.To protect portfolio against unexpected turbulent drop, risk managers might use stock index futures to hedge the portfolio.An investor with a large portfolio of stocks may want to hedge against a stock market decline by shorting futures contracts.In this paper, a hedging strategy is presented by shorting stock index futures.We investigate 5 different fund and compare the return and risk with our hedged portfoho.Both return and standard deviation of our hedged portfolio outperform that of the original portfolio.The return of the portfolio hedged with SFIF1012 is higher than that hedged with SFIF1009.These findings are helpful for risk managers to fully make use of the new coming China stock index futures for risk management.The results from the model by shorting the right amount of stock index future for hedging strategies may assist risk managers in making practical decisions in risk management.
CSI300 stock index future CAPM hedging risk management hedging effectiveness
Bai Li Kwa-Hang Lam Chen Dong Wang Shuangcheng
Math and Information Department, Shanghai Lixin University of Commerce Department of Liberal Arts, Mathematics SCAD Hong Kong
国际会议
The 4th Conference on Chinas Economic Operation Risk Management(2010·Shanghai)(第四届中国立信风险管理论坛)
上海
英文
1-7
2010-10-14（万方平台首次上网日期，不代表论文的发表时间）