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How Does Index Fund Utilize CSI 300 Index Future to Hedge

Author: TanHaiDong
Tutor: XiaZuoZuo
School: Southwestern University of Finance and Economics
Course: Financial Engineering
Keywords: Stock index futures Hedging Index Fund Hedge Ratio Castrol 300
CLC: F832.51
Type: Master's thesis
Year: 2011
Downloads: 126
Quote: 0
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Abstract

Stock index futures standardized financial futures contract based on a stock price index as the basis of the subject matter, it is a very active trading of futures products. April 16, 2010, China's stock index futures in China Financial Futures Exchange in its underlying index CSI 300 Index, the introduction of stock index futures, the majority of our stock investors, especially institutional investors, hedge become possible. Index funds to track by constructing a portfolio of securities and the passive replication stock index investment Fund, SZSE 300 Index Securities Investment Fund actively traded fund market in China, is a typical index funds tracking object is also The CSI 300 Index. Since the subject of stock index futures and the Castrol 300 tracking objects are CSI 300 Index, has a great correlation between them and this has a strong representation of the Castrol 300 stock index futures hedging and practical significance. Combination of the theoretical and empirical, to make full use of statistics and measurement means, and discusses the Castrol 300 Why can use stock index futures to hedge, and Castrol 300 how to use stock index futures to hedge the empirical part of the focus on hedging The determination of the ratio and on the evaluation of the different models. The first chapter is the introduction, this part mainly describes the background of the topic of this article, literature review, research content and research methods, as well as the article structure. Research background, the paper discusses the origin of the select stock index futures to hedge the subject, our recently launched stock index futures soon, many investors in the stock index futures is not very understanding, use stock index futures to hedge more unfamiliar hedging can really effectively avoid risks to the majority of investors to bring utility, so at this time to study how to use stock index futures to hedge it is very practical significance and reference value, which is the starting point of this study and cut point. Literature review, a complete analysis of the history and current situation of the hedging research at home and abroad, this part of the description of the contents of this paper allows the reader to clearly understand hedging theory and optimal hedge ratio the context of the development of the estimated model, readers can understand how hedging theory from the traditional theory over to the modern theory of the hedge ratio estimation model development from simple linear regression to vector autoregression that the GARCH model, static hedging hedge against inflation model how to develop a dynamic hedging model, the literature review also allows us to see the progress of the theory is a long process, it is hard to come by. In this part of the research content and research methods, the paper briefly summarizes the article elaborated the research methods of the article, to give the reader an outline of this article. Structural parts in the article, the full text of the logical reasoning process performance through the form of a chart, not only be able to see from the figure the text analysis points, and can see the logical relationship between the various parts of the article, the chart so that the article The structure is more clear. Second comprehensive analysis of stock index futures and index funds, this part is divided into five parts. The first part describes the concept of stock index futures, characteristics, and functions of the history and development of stock index futures, stock index futures, these analysis allows the reader to understand the stock index futures is a stock index as the underlying assets of the financial futures contracts, stock index futures The produce is used because of the need for risk aversion, stock index futures, margin trading system, to support short selling of stock index futures and the implementation of T 0 transactions, stock index futures has high leverage and high risk characteristics. In addition, the stock index futures price discovery, hedging, asset allocation, information dissemination, and other functions, the emergence of stock index futures has a positive role to improve the capital market institutions. The second part describes the concept of index funds, it is by constructing a portfolio to track a copy of a particular index securities investment funds, it has a relatively small risk, relatively low cost, as well as tax-deferred features. The status quo of China Index Fund also set forth in the section of this article, this part we can see more of index funds. This chapter also analyzed the characteristics of ETF and LOF Fund and the distinction between them, this article is the reason why you want to analyze the ETF and LOF Fund The empirical object - Castrol 300 is a LOF fund, and ETF funds LOF fund similarities, So in this article them together in the analysis. The third part describes the relationship between the stock index futures and index funds, which means that the introduction of stock index futures, index funds means that in the end what the exposition for the fifth chapter theoretically use stock index futures hedging empirical research bedding. The fourth part focuses on the CSI 300 Index stock index futures, because the empirical part of this paper is on the use of the CSI 300 index futures hedging, the CSI 300 Index and its futures in this article it is necessary to train a This paper describes the section discussed here preparation methods and characteristics of the CSI 300 Index, CSI 300 stock index futures trading rules and ways. The last part of this chapter a brief introduction to the Castrol 300 the fund, the Castrol 300 is one of the sources of the empirical data, it is very necessary for Castrol 300 introduced. The third chapter is the analysis of the hedging theory. Through these analyzes, this chapter so that readers know that hedging is actually hedging transactions, it is offset by loss and profit gains and losses of the futures market and the spot market, a strategy so as to achieve a hedge against inflation purpose. This chapter also elaborated on the specific content of the traditional hedging theory and modern hedging theory. In addition, this chapter also analyzes the principle of the hedge ratio model model estimation method, the risk factors the hedging effects assessment models and the hedging process. Analysis of risk factors, a detailed analysis of the impact of basis risk to hedge basis differential is the difference between the spot prices and futures prices, hedging basis risk is actually replaces the original assets of the risk, the other The article also discusses the impact of changes in the basis of different types of hedging in the forward market and reverse the market. In addition, analysis of the model risk, cost risk, liquidity risk, tracking error risk, through the analysis of these risk factors, you can let readers know Hedging is a risk. In the fourth chapter, the day yield data of this paper, the Castrol 300 as well as stock index futures Castrol 300 systemic risk detection, the liquidity of the stock index futures contracts comparative analysis of the stationary test, normality test, volatility analysis, Castrol 300 analysis and cointegration relationship between stock index futures. Before these tests, the paper describes each test method. Through the detection of systemic risk, the systemic risk of the draw Castrol 300 ETF has an absolute proportion of the total risk, so Castrol 300 is necessary to use stock index futures to hedge. The comparative analysis of the liquidity of the stock index futures contracts, draw the active trading of the contract month, the most suitable to be used as hedging. Stationary test derived The Castrol 300 stock index futures day yield sequence are stable, so a series of regression analysis using these two sequences are meaningful, there is no problem of spurious regression. Through normal distribution test, we draw the Castrol 300 and the Japanese stock index futures return series are not the standard normal distribution, but was leptokurtic distribution. Strong cointegration relationship between the Japanese yield sequence cointegration test, we draw the Castrol 300 with stock index futures, stock index futures to hedge the Castrol 300 is so feasible. The chapter analysis Chapter Empirical Analysis premise behind these analyzes empirical basis. The fifth chapter is the empirical section of this article. In the first section of the chapter, the paper briefly describes the empirical data selection and processing, and provides data on support for the later. Then this paper, six models were estimated optimal hedge ratio. The six models are: the method of least squares (OLS), bivariate vector autoregressive (B-VAR), error correction model (ECM), GARCH model binary GARCH model, ECM-BGARCH model, with six model six hedge ratio, respectively, has been followed this paper, the evaluation model effectiveness analysis of these six ratio, and really can effectively reduce the risk of investor assets come to use stock index futures to hedge the OLS model is still China's stock index futures the best choice hedging conclusion. Chapter 6 In this paper, a number of policy recommendations about the stock index futures market, the development of China's stock index futures market, the relevant government management departments as well as the social forces to vigorously cultivate institutional investors, strengthen the supervision of the futures market, intensify efforts to train and improve the level of futures companies risk management futures talent. Although these recommendations are not necessarily comprehensive, but as long as we can effectively work hard on it, I believe that China's stock index futures market will be more healthy development road. Castrol 300 and the closing price of the stock index futures on the daily number difference logarithmic yield as an empirical analysis of the basis of the data, the time from April 20, 2010 to 2010, a total of 184 trading days used in the empirical major statistical software Eviews5.0, and other Evidence in dealing with some of the data used in part Excel. Overall, this paper is a complete analysis of Hedging Theory and hedge ratio model using real transaction data to estimate the optimal hedge ratio, and the estimated results of the assessment. Through these analyzes, for the majority of our investors hedging theoretical and practical aspects of the reference.

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