Abstract
In this paper, we explore the hedging performance of CSI 300 stock index futures under the minimum-variance and maximum-utility framework. We employ ten commonly used econometric models including constant and dynamic ones. Our empirical results indicate that for all futures contracts none of the single model can outperform all other models out-of-sample. In general, the dynamic hedge ratio models are significantly superior to the constant hedge ratio models under the both frameworks in CSI 300 market. Further we obtain the most robust hedging effectiveness by combining OHRs from dynamic hedge models.
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Funding
Funding was provided by National Natural Science Foundation of China (Grant No. 71722015). Yudong Wang particularly acknowledges the financial support from the Fok Ying-Tong Education Foundation of China.
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Geng, Q., Wang, Y. Futures Hedging in CSI 300 Markets: A Comparison Between Minimum-Variance and Maximum-Utility Frameworks. Comput Econ 57, 719–742 (2021). https://doi.org/10.1007/s10614-020-09979-z
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DOI: https://doi.org/10.1007/s10614-020-09979-z