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Research on the Performance of Hedging Strategy of Stock Index Futures

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DOI: 10.23977/gebm.2019.040

Author(s)

Qi Qiu, Xuemin Cai and Lili Zhang

Corresponding Author

Xuemin Cai

ABSTRACT

For investors, what are the different effects of different hedging strategies on the final performance? How big is the impact? On the basis of summarizing relevant hedging theories, this study empirically studies three hedging strategies based on programmed trading platform.The measurement of risk change before and after hedging is measured by Ederington measurement method, and the measurement of utility change before and after hedging is measured by utility increment method, so as to provide reference for investors in hedging transactions. The results show that investors can choose the positive hedging strategy of futures, carry out hedging when the market trend is fluctuating or falling, and give up hedging when the market trend is obviously rising, which not only saves the capital cost needed for hedging, but also improves the profit and efficiency of hedging.

KEYWORDS

Hedging Strategy, Programmed Trading Platform, Strategy Performance

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