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2008•Journal of Hefei University of TechnologyRequires access

On the Effectiveness of the Underlying Assets of Stock Index Futures

YE Yong-gang

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Abstract

The essence of stock index futures is that through the trading of investors who have the different judgment of the trend of stock market to offset their risks of spot market.The optimal hedge ratio of Shanghai and Shenzhen 300 stock index futures on the spot Shanghai and Shenzhen 300 index is calculated by establishing BGARCH model and analysis the effect of hedging in order to exam the effectiveness of setting Shanghai and Shenzhen 300 stock index as the underlying assets of the first stock index futures contract in our country.

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The essence of stock index futures is that through the trading of investors who have the different judgment of the trend of stock market to offset their risks of spot market.The optimal hedge ratio of Shanghai and Shenzhen 300 stock index futures on the spot Shanghai and Shenzhen 300 index is calculated by establishing BGARCH model and analysis the effect of hedging in order to exam the effectiveness of setting Shanghai and Shenzhen 300 stock index as the underlying assets of the first stock index futures contract in our country.

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Available abstract

The essence of stock index futures is that through the trading of investors who have the different judgment of the trend of stock market to offset their risks of spot market.The optimal hedge ratio of Shanghai and Shenzhen 300 stock index futures on the spot Shanghai and Shenzhen 300 index is calculated by establishing BGARCH model and analysis the effect of hedging in order to exam the effectiveness of setting Shanghai and Shenzhen 300 stock index as the underlying assets of the first stock index futures contract in our country.

Key concepts: Futures contract, Stock market index, Stock index futures, Index (typography), Financial economics, Hedge, Capitalization-weighted index, Stock (firearms)

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