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Study on Hedging Performance Evaluation of Open-End Fund Based on Stock Index Futures(PDF)

南京师范大学学报(工程技术版)[ISSN:1006-6977/CN:61-1281/TN]

Issue:
2012年03期
Page:
85-92
Research Field:
Publishing date:

Info

Title:
Study on Hedging Performance Evaluation of Open-End Fund Based on Stock Index Futures
Author(s):
Zhao ZiqiangYe Lu
School of Computer Science and Technology,Nanjing Normal University,Nanjing 210046,China
Keywords:
stock index futures open-end fundshedge ratiohedging effectVaR
PACS:
F832.5;F224
DOI:
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Abstract:
The paper uses the CSI 300 stock index futures market after the actual transaction data,makes a comprehensive use of the OLS,the MDM,the VECM,the GARCH model to analysis hedge effect of the equity open-end fund,the hybrid open-end fund and the index open-end funds. The empirical results show that the effects of domestic stock index futures for hedging of the fund are significant. From both Hedging efficiency and dynamic VaR value results,we find that the index fund of hedge is better than other types of funds,short-term use of hedging efficiency of the static model is better than the dynamic model hedging efficiency.

References:

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Last Update: 2013-03-11