Research on the Hedging of CSI300 Stock Index Future Based on VaR and CVaR Model
1 Emeixiaoqu accounting department, Southwest Jiaotong University, Emei, Sichuan, 610031, China
2 School of Economic and Management, Southwest Jiaotong University, Chengdu, Sichuan, 610031, China
Hedging function is one of the most significant functions of stock index futures, and it received extensive public attention. This article set VaR and CVaR as hedging objective function of the hedging model in China and proposed the hedging effect measurement method based on VaR and CVaR. It also used the actual data of CSI300 stock index future to calculate its hedging effect. It is found from the result that the hedging model of stock index future based on VaR and CVaR can effectively reduce the risk of portfolio, and a relatively good accumulated income rate will be obtained. By comparison, the hedging model of stock index future based on CVaR will do better in controlling the risk of portfolio, while the hedging model of stock index future based on VaR will obtain a better accumulated income rate.
Key words: stock index future / hedging / VaR / CVaR
© Owned by the authors, published by EDP Sciences, 2015
This is an Open Access article distributed under the terms of the Creative Commons Attribution License 2.0, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.