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Study on the Hedging Theory and Application of Stock Index Futures

Author: ManHongZhi
Tutor: ZhanYuanRui
School: Tianjin University
Course: Finance
Keywords: Stock index futures Hedge Ratio VaR Efficiency
CLC: F832.51
Type: Master's thesis
Year: 2007
Downloads: 599
Quote: 3
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Abstract


Stock Price Index Futures (Stock Index Futures stock index futures for short) for the study, the stock index futures is an important capital market financial derivatives. Along with the development of China's capital market, stock market and becoming more and more important role in the national economy, while open-end funds, social security funds and insurance funds, the continuous influx of institutional investors in the securities market. In order to ensure the safe operation of the large sums of money, and the normal development of the stock market, and improve the structure of China's capital market, stock index futures as an effective hedging instrument is about to be launched. The stock index futures is conducive to improve the function and mechanism of the stock market, enrich the investment vehicle of the majority of investors. However, in the process of stock index futures to hedge, the people are most concerned about is the effect of hedging, hedging effect is good or bad depends critically on the determination of the hedge ratio. This article will focus on the study of the problem of determining the hedge ratio of stock index futures for hedging process. First, the stock index futures are given a basic introduction, a brief discussion is given on functional role and operation of stock index futures, in order to deepen the understanding of the stock index futures. Secondly, we discussed the development of the theory of futures hedging, hedging of the key issues that the hedge ratio determined on the basis of the understanding of futures hedging function. The basic idea to translate into the volatility of the spot market price the basis volatility risk, which is the theoretical basis for hedgers hedging operations. Again, based on the understanding that \In this paper, the use of econometric models to study hedge ratio to determine the comparative studies and empirical analysis of stock index futures and stock index to the world's most representative sample, including the U.S. S \u0026 P 500 index, the Nikkei 225 (NIKKEI 225) index and its index futures, the Dow Jones Industrial Average (DJIA) index futures. Through a comparative analysis of the ideal model estimated hedge ratio. Hedging transactions for hedging provides a theoretical foundation and technical support. Finally, the use of VaR (Value at Risk) method to analyze the effectiveness of stock index futures to hedge. The VaR method enables investors to grasp the transaction costs, risk hedging process control.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
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