Proceedings of 2016 2nd International Conference on Humanities and Social Science Research (ICHSSR 2016)

Research on Hedging Efficiency of SSE 50 Index Futures

Authors
Jingyong Fan
Corresponding Author
Jingyong Fan
Available Online July 2016.
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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Volume Title
Proceedings of 2016 2nd International Conference on Humanities and Social Science Research (ICHSSR 2016)
Series
Advances in Social Science, Education and Humanities Research
Publication Date
July 2016
ISBN
978-94-6252-235-0
ISSN
2352-5398
DOI
10.2991/ichssr-16.2016.24How to use a DOI?
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/).

Cite this article

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  -