Title :
Research on the Hedge Ration of IF1006 Contract
Author :
Baosen, Wang ; Huanhuan, Zhang
Author_Institution :
Coll. of Econ. & Manage., Hebei Univ. of Eng., Handan, China
Abstract :
In China, the stock index futures were launched on April 16, 2010 during a period of mock trading. This paper is research on the hedging of CSI 300 index by using the IF1006 contract, Established OLS, VAR, GARCH, VEC and other mathematical models for analysis the hedge ratio of stock, and using minimum variance criteria to evaluation. The results show that selecting the appropriate mathematical model for hedging can make perfect effect.
Keywords :
commerce; stock markets; CSI 300 index; GARCH; IF1006 contract; OLS; VAR; VEC; hedge ration; mathematical models; minimum variance criteria; mock trading; stock index; Contracts; Correlation; Educational institutions; Indexes; Mathematical model; Reactive power; Time series analysis; hedge; measurement; risk aversion; stock index futures;
Conference_Titel :
Future Computer Science and Education (ICFCSE), 2011 International Conference on
Conference_Location :
Xi´an
Print_ISBN :
978-1-4577-1562-4
DOI :
10.1109/ICFCSE.2011.155
