Research on Hedging Efficiency of SSE 50 Index Futures

DOI

10.2991/ichssr-16.2016.24How to use a DOI?

Keywords

SSE 50 Index Futures; Hedging efficiency; B-VAR; ECM-GARCH; Ederington model

Abstract

Financial assets' investment income is proportional to the risk, high income corresponds to high risk. As the most important derivatives, stock index futures' primary function is hedging. Based on the theory of hedging and the method to evaluate its effectiveness, this paper carries out an empirical study on hedging efficiency using the B-VAR model and the ECM-GARCH model. Empirical model based on the Ederington hedge ratio method, using the date of SSE 50 Index Futures from April 16, 2015 to September 30, 2015. The results show that the hedging ratio of investment portfolio is above 85%, and the hedging relationship is highly effective. So it can be proved that the SSE 50 index futures play the role of hedging and avoiding the system risk in cash market.

Copyright

© 2016, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Jingyong Fan
PY  - 2016/07
DA  - 2016/07
TI  - Research on Hedging Efficiency of SSE 50 Index Futures
BT  - Proceedings of 2016 2nd International Conference on Humanities and Social Science Research (ICHSSR 2016)
PB  - Atlantis Press
SP  - 104
EP  - 109
SN  - 2352-5398
UR  - https://doi.org/10.2991/ichssr-16.2016.24
DO  - 10.2991/ichssr-16.2016.24
ID  - Fan2016/07
ER  -