中国股市价格风险的期货对冲策略研究

Based on the linear regression (OLS) hedging model, the risk hedging mechanism of various improved futures hedging models including the state transition model is analyzed in depth, and on this basis, the risk hedging effect of various hedging models is compared. The empirical study shows that the csi 300 stock index futures and the spot return of the index show obvious characteristics of autocorrelation, conditional heteroscedasticity, nonlinear correlation and state switching. In the stock market collapse, the dynamic hedging model based on state transition and the lower tail correlation coefficient can achieve the most effective risk hedging effect.