Research on the effectiveness of hedging on SSE 50 stock index futures

Fangqun Zhang; Tingting Liang

doi:10.62051/ijgem.v3n2.55

Authors

Fangqun Zhang
Tingting Liang

DOI:

https://doi.org/10.62051/ijgem.v3n2.55

Keywords:

SSE 50 stock index futures, Hedging, OLS, VAR

Abstract

Stock index futures is an important investment product, which gives financial market participants a new way to manage risks, especially in the case of investors holding more spot positions, the risk avoidance function of stock index futures is more prominent. Therefore, this paper to the optimal hedging ratio of stock index futures as the research focus, the above card 50 stock index futures main contract (code: IHL 8) as the research object, on this basis, using OLS and VAR model, for the SSE 50 index (code: 000016), and use the effectiveness of hedging index He to evaluate the effectiveness of the hedge, so as to get the most effective hedging model. Through the empirical research in this paper, it is found that the hedge effect obtained by using the VAR model is better than that of the traditional OLS model. By using the stock index futures, the market participants can effectively avoid the risk of the spot market.

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