Title :
Empirical Analysis on CSI 300 Index Futures Hedging
Author :
Zhang Xiaoyan ; Chen Fan
Author_Institution :
Coll. of Econ. & Manage., Three Gorges Univ., Yichang, China
Abstract :
This paper takes CSI 300 index futures as the research object, bases on actual market data, it calculates the optimal hedge ratio with VAR model, VECM model and GARCH model, analyses the hedging effectiveness, gets some corresponding results, and puts forward some recommendations for investors.
Keywords :
autoregressive processes; investment; CSI 300 index futures hedging; GARCH model; VAR model; VECM model; generalized autoregressive conditional heterosdasticity model; investors; vector autoregression model; vector error correction model; Analytical models; Data models; Estimation; Helium; Indexes; Mathematical model; Reactive power;
Conference_Titel :
Management and Service Science (MASS), 2011 International Conference on
Conference_Location :
Wuhan
Print_ISBN :
978-1-4244-6579-8
DOI :
10.1109/ICMSS.2011.5998537
