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An Empirical Study of Shanghai and Shenzhen 300 stock index futures on the the Shanghai 50ETF hedging

Author: AnZongBao
Tutor: YangDingHua
School: Yunnan University of Finance
Course: Finance
Keywords: Hu-Shen 300 stock index futures Shanghai 50ETF Hedging
CLC: F832.51
Type: Master's thesis
Year: 2009
Downloads: 360
Quote: 3
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Abstract


Shanghai 50ETF, China’s first Exchange Traded Funds, is to copy the way of tracking Shanghai 50 Index in order to gain the same yield as its target index . Because Shanghai 50ETF fits the Shanghai 50 index for the goal in full passive management style, the net value of its goes up and down with Shanghai 50 Index fluctuating. As a result, when the Shanghai 50 index dropped heavily, Shanghai 50ETF will have a great loss in the net value. Hu-Shen300 stock index futures is a subject index for Hu-Shen 300 index of financial futures contracts. In its official launch, investors can sell through the bear market in Hu-Shen 300 stock index futures to evade systemic risk and to lack return on investment target.As the Hu-Shen 300 stock index futures have not been yet formally launched ,Hu-Shen 300 stock index futures prices is replaced with Hu-Shen 300 index in this paper. In the empirical analysis of correlation between Hu-Shen 300 stock index futures and Shanghai 50ETF, the author makes use of unit root test, cointegration tests, error correction model and Granger Causality Test. The results show that there is a long-term equilibrium relationship between Hu-Shen 300 stock index futures and Shanghai 50ETF; fluctuations of Hu-Shen 300 stock index futures lead to that of short-term Shanghai 50ETF in the same period; and error correction plays a limited role in regulation of Shanghai 50ETF of fluctuations ; At least 95 percent confidence level, Hu-Shen300 index futures is the cause of Granger causality. of Shanghai 50ETF.When Studing Hu-Shen300 stock index futures hedging Shangai 50ETF , the author use OLS , B-VAR, ECM, GARCH to calculate the optimal ratio of hedging, indicators to measure the hedging performance as well as inside and outside the sample. Studies have shown that there is small difference in the optimal ratio by four models. hedging reduces systemic risk of shanghai 50ETF compared with no hedging. the hedging performance of outside samples is better than that of inside sample. the longer hedging, the better the effect of hedging.

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