Research on the Hedging of CSI300 Stock Index Future Based on VaR and CVaR Model
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 us...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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EDP Sciences
2015-01-01
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| Series: | SHS Web of Conferences |
| Subjects: | |
| Online Access: | http://dx.doi.org/10.1051/shsconf/20151701004 |
| _version_ | 1818912053122826240 |
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| author | Xu Zijian Shi Benshan Zhou Sheng |
| author_facet | Xu Zijian Shi Benshan Zhou Sheng |
| author_sort | Xu Zijian |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-12-19T23:08:28Z |
| format | Article |
| id | doaj.art-935acaf6cc5e417ebdacc013291b8710 |
| institution | Directory Open Access Journal |
| issn | 2261-2424 |
| language | English |
| last_indexed | 2024-12-19T23:08:28Z |
| publishDate | 2015-01-01 |
| publisher | EDP Sciences |
| record_format | Article |
| series | SHS Web of Conferences |
| spelling | doaj.art-935acaf6cc5e417ebdacc013291b87102022-12-21T20:02:18ZengEDP SciencesSHS Web of Conferences2261-24242015-01-01170100410.1051/shsconf/20151701004shsconf_icmetm2015_01004Research on the Hedging of CSI300 Stock Index Future Based on VaR and CVaR ModelXu Zijian0Shi Benshan1Zhou Sheng2Emeixiaoqu accounting department, Southwest Jiaotong UniversityEmeixiaoqu accounting department, Southwest Jiaotong UniversitySchool of Economic and Management, Southwest Jiaotong UniversityHedging 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.http://dx.doi.org/10.1051/shsconf/20151701004stock index futurehedgingVaRCVaR |
| spellingShingle | Xu Zijian Shi Benshan Zhou Sheng Research on the Hedging of CSI300 Stock Index Future Based on VaR and CVaR Model SHS Web of Conferences stock index future hedging VaR CVaR |
| title | Research on the Hedging of CSI300 Stock Index Future Based on VaR and CVaR Model |
| title_full | Research on the Hedging of CSI300 Stock Index Future Based on VaR and CVaR Model |
| title_fullStr | Research on the Hedging of CSI300 Stock Index Future Based on VaR and CVaR Model |
| title_full_unstemmed | Research on the Hedging of CSI300 Stock Index Future Based on VaR and CVaR Model |
| title_short | Research on the Hedging of CSI300 Stock Index Future Based on VaR and CVaR Model |
| title_sort | research on the hedging of csi300 stock index future based on var and cvar model |
| topic | stock index future hedging VaR CVaR |
| url | http://dx.doi.org/10.1051/shsconf/20151701004 |
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