Dissertation > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods

Stock Index Futures Market Hedging Regression Analysis

Author JingXuHua
Tutor YangKeLei
School Tianjin University
Course Technology Economics and Management
Keywords Stock index futures Hedging Regression analysis Stock index
CLC F224
Type Master's thesis
Year 2006
Downloads 940
Quotes 3
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Stock market risk, systemic risk and non-systematic risk, non-systematic risk can spread out through a combination of investment, while the system risk must be appropriate hedging instruments to defuse, stock index futures is such a kinds of hedging instruments; view from the existing conditions of China's securities market after 10 years of development, already has a considerable scale, until the end of October 2002, the two stock exchanges in Shanghai and Shenzhen listed companies of 1215, The total market capitalization of approximately 4.4 trillion, more than 40 listed funds; 2001, the securities market launch Huaan innovation \WTO, for the introduction of foreign capital, it is necessary to improve the securities market. These conditions are the introduction of stock index futures is necessary. But at the same time, the introduction of stock index futures in China also faces a number of constraints, such as market imperfections and flaws of laws and regulations, the lack of short-mechanism; addition, because of its own unique modus operandi, making it a huge source of risk in financial markets, which requires economic analysis of stock index futures, system innovation analysis, risk countermeasures analysis, as well as the successful operation of the Hong Kong stock market, the FTSE Xinhua China 25 Index Futures and H-shares Index Futures learn. Stock index futures' dissertation">Stock index futures to hedge the stock index futures market trading strategy. In this paper, the regression analysis tool of its hedging analysis, insight into the correlation of stock index futures and spot markets through data analysis, and linear regression equation to determine the hedge ratio. Due to the existence of a real-time interactive relationship between the stock index gains rate and stock index futures yield, and fluctuations in the stock index futures the first line in the stock index volatility, investors can take advantage of the regression equation to predict the spot market rate of return on the stock index. China stock index futures trading overseas: listed on the Hong Kong Stock Exchange FTSE Xinhua China 25 Index futures, H-shares Index Futures; CBOE Futures Exchange (CFE) listed on the CBOE China Index (CX) futures. 2003 to 2005, index futures and spot market data from an empirical point of view, the use of the SPSS statistical software analysis, one yuan linear regression equations were established. A Comparative Study of the hedge ratio in selected smaller spot market, the market value of the portfolio, the number of constituent stocks less the case. Finally, cross-market trading of stock index futures on the Hong Kong stock market using two discussed.

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