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The Empirical Analysis of Hedging between Stock Index Futures and Exchange-traded Funds Based on Copula-GARCH Model

Author: Zhang
Tutor: ZhouShaoFu
School: Huazhong University of Science and Technology
Course: Financial
Keywords: Stock Index Futures hedging-model Exchange Traded Fund Copula-GARCH model
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Type: Master's thesis
Year: 2013
Downloads: 10
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Abstract


On April16,2010, our country the launched the CSI300stock index futures which isthe first stock index futures in China. What’s more,the CSI300stock index futuresindicates the end of the a-share market’s lack of short mechanism. For investors,especially institutional investors, it is important for them to use CSI300stock indexfutures and hedging function to aviod assets suffering from system risk in spot stockmarket. When doing actual analysis,it is necessary to know how to make use of stockindex futures for hedging and how to determine hedging ratio. As a proper hedging ratiocan greatly reduce the fluctuation of the daily return. It can ensure the return and reducethe risk of the investment at the same time, therefore, to analyze hedging strategy isnecessary and significant. In this paper, we take the CSI300stock index futures andShanghai180ETF as sample. We use statistical software and the latest data to dostatistical description, such as stationarity and normality.According to the elaboration oflinear model, nonlinear model and Copula-GARCH model, and the characteristics of thedata,we chose OLS model and Copula-GARCH model to do hedging analysis and obtainthe corresponding hedging ratio. Then we bring the ratio in the model, and figure out theportfolios’ returns and standard deviations and use them to compare the efficiency ofselected hedging models. At the same time,we futher introduct the determinationcoefficient to do a objective evaluation. The analysis results show that using theCopula GARCH model to analyze correlation between sequences is more appropriate.And the hedging ratio is more effective than linear OLS model. Finally, based on thecorrelated theory and empirical analysis, we expounds the advantages and disadvantagesof this paper.

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