DocumentCode
1680479
Title
Research on the Hedge Ration of IF1006 Contract
Author
Baosen, Wang ; Huanhuan, Zhang
Author_Institution
Coll. of Econ. & Manage., Hebei Univ. of Eng., Handan, China
fYear
2011
Firstpage
623
Lastpage
625
Abstract
In China, the stock index futures were launched on April 16, 2010 during a period of mock trading. This paper is research on the hedging of CSI 300 index by using the IF1006 contract, Established OLS, VAR, GARCH, VEC and other mathematical models for analysis the hedge ratio of stock, and using minimum variance criteria to evaluation. The results show that selecting the appropriate mathematical model for hedging can make perfect effect.
Keywords
commerce; stock markets; CSI 300 index; GARCH; IF1006 contract; OLS; VAR; VEC; hedge ration; mathematical models; minimum variance criteria; mock trading; stock index; Contracts; Correlation; Educational institutions; Indexes; Mathematical model; Reactive power; Time series analysis; hedge; measurement; risk aversion; stock index futures;
fLanguage
English
Publisher
ieee
Conference_Titel
Future Computer Science and Education (ICFCSE), 2011 International Conference on
Conference_Location
Xi´an
Print_ISBN
978-1-4577-1562-4
Type
conf
DOI
10.1109/ICFCSE.2011.155
Filename
6041772
Link To Document