Hedging of Stock Index Futures from the Perspective of Investor Sentiments
Taking the Shanghai and Shenzhen 300 stock index futures as the research object,the optimal hedging strategy of CSI 300 stock index futures was studied by using t-Copula-ECM-GARCH dynamic model,and compared with traditional hedging strategies such as OLS.The investor sentiment index of stock spot market and stock index futures market was constructed by principal component analysis(PCA)and introduced into the above model respectively.The results show that the hedging effect of CSI 300 stock index futures after adding investor sentiment index is significantly improved compared with the hedging strategy without considering investor sentiment.The hedging model based on investor sentiment has a better risk avoidance effect than the original model.
万方数据
维普
