Empirical research on hedging strategy of Chinese index future market

This paper examines hedging strategy in Chinese stock index futures market. Focus on task of forming a portfolio which holds long position of limited numbers of stock that outperforms the underlying index, and meanwhile holds short position of related index future. In order to select proper stocks, the particle swarm optimization is implemented, with minimizing the downside risk of return. The empirical study, hedging IF1012 on Hushen 300 index, reveals that based on this strategy, the portfolio could achieve relatively positive return.