• DocumentCode
    2969974
  • 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
  • fYear
    2011
  • fDate
    12-14 Aug. 2011
  • Firstpage
    1
  • Lastpage
    5
  • 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;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Management and Service Science (MASS), 2011 International Conference on
  • Conference_Location
    Wuhan
  • Print_ISBN
    978-1-4244-6579-8
  • Type

    conf

  • DOI
    10.1109/ICMSS.2011.5998537
  • Filename
    5998537
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=2969974