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《The Theory and Practice of Finance and Economics》 2008-02
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An Empirical Analysis of Hedging Effect of the Underlying Index of China Stock Index Futures

YANG Sheng-gang1,WANG Chen-de1,FAN Zhi2(1.Finance College of HuNan University,Changsha,Hunan 410079,China;2.ICBC Credit Suisse Asset Management Co.Ltd,Beijing 100010,China)  
Hedging is one of the important functions for futures market,therefore,hedging effect is the key barometer for measuring the priority of the underlying index.Based on the Theory of Portfolio Hedging and the Least Variance Method,this paper analyzes the hedging effects of five China unified benchmark indexes empirically,such as Xinfu A200,Hushen 300,Zhongbiao 300,Xinfu A600 and Daozhong 600,using Zhongbiao 50 and Daozhong 88 to simulate the stock market portfolio.Conclusions show that the hedging effect of Xinfu A600 is the best.
【Fund】: 国家自然科学基金面上项目(70773038)
【CateGory Index】: F832.51
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