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A copula–multifractal volatility hedging model for CSI 300 index futures

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  • Wei, Yu
  • Wang, Yudong
  • Huang, Dengshi

Abstract

In this paper, we propose a new hedging model combining the newly introduced multifractal volatility (MFV) model and the dynamic copula functions. Using high-frequency intraday quotes of the spot Shanghai Stock Exchange Composite Index (SSEC), spot China Securities Index 300 (CSI 300), and CSI 300 index futures, we compare the direct and cross hedging effectiveness of the copula–MFV model with several popular copula–GARCH models. The main empirical results show that the proposed copula–MFV model obtains better hedging effectiveness than the copula–GARCH-type models in general. Furthermore, the hedge operating strategy based MFV hedging model involves fewer transaction costs than those based on the GARCH-type models. The finding of this paper indicates that multifractal analysis may offer a new way of quantitative hedging model design using financial futures.

Suggested Citation

  • Wei, Yu & Wang, Yudong & Huang, Dengshi, 2011. "A copula–multifractal volatility hedging model for CSI 300 index futures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(23), pages 4260-4272.
    • Handle: RePEc:eee:phsmap:v:390:y:2011:i:23:p:4260-4272
    DOI: 10.1016/j.physa.2011.06.042
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    9. Qianjie Geng & Yudong Wang, 2021. "Futures Hedging in CSI 300 Markets: A Comparison Between Minimum-Variance and Maximum-Utility Frameworks," Computational Economics, Springer;Society for Computational Economics, vol. 57(2), pages 719-742, February.
    10. Corbet, Shaen & Hou, Yang (Greg) & Hu, Yang & Oxley, Les, 2022. "The influence of the COVID-19 pandemic on the hedging functionality of Chinese financial markets," Research in International Business and Finance, Elsevier, vol. 59(C).
    11. Zhiyuan Pan & Xianchao Sun, 2014. "Hedging Strategy Using Copula and Nonparametric Methods: Evidence from China Securities Index Futures," International Journal of Economics and Financial Issues, Econjournals, vol. 4(1), pages 107-121.
    12. Chen, Wang & Wei, Yu & Lang, Qiaoqi & Lin, Yu & Liu, Maojuan, 2014. "Financial market volatility and contagion effect: A copula–multifractal volatility approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 398(C), pages 289-300.
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