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Futures Hedging in CSI 300 Markets: A Comparison Between Minimum-Variance and Maximum-Utility Frameworks

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  • Qianjie Geng

    (Nanjing University of Science and Technology)

  • Yudong Wang

    (Nanjing University of Science and Technology)

Abstract

In this paper, we explore the hedging performance of CSI 300 stock index futures under the minimum-variance and maximum-utility framework. We employ ten commonly used econometric models including constant and dynamic ones. Our empirical results indicate that for all futures contracts none of the single model can outperform all other models out-of-sample. In general, the dynamic hedge ratio models are significantly superior to the constant hedge ratio models under the both frameworks in CSI 300 market. Further we obtain the most robust hedging effectiveness by combining OHRs from dynamic hedge models.

Suggested Citation

  • 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.
    • Handle: RePEc:kap:compec:v:57:y:2021:i:2:d:10.1007_s10614-020-09979-z
    DOI: 10.1007/s10614-020-09979-z
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    Cited by:

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