HuShen 300 stock index futures' optimal hedging ratio

The launch of HuShen 300 index futures contracts, which can improve the structure of China's stock market will provide a way for the domestic stock market to hedge risk. On the basis of the introduction of the best HuShen 300 index futures hedging strategy this paper focuses on the calculation of the optimal HuShen 300 index futures hedging ratio Being different from most of the studies this paper proposes a composite hedging ratio calculation approach and derives D-BEKK-ECM-BGARCH hedging ratio calculation model from the futures pricing theory. Empirical evidence on the hedging effect of the two models suggests that the stock portfolio's risk of yield can be significantly reduced after hedging and the application of the D-BEKK-ECM-BGARCH model can get the minimum transaction costs without losing hedging effect.