Optimal Hedging Strategies of Stock Index Futures Based on the Perspective of Information Asymmetry

• 作者: Jianhua Guo
• 来源期刊: 应用科学(英文)
• 学科: 经济
• 关键词: STOCK INDEX FUTURES OPTIMAL HEDGING STRATEGY Information Asymmetry
• 年，卷（期）: 2020,（2）
• 页码范围: 15-24
• 页数: 10页
• 分类号: F01

摘要

Based on two different risk measurement criteria, this article studied the optimal hedging strategies of stock index futures in the case of asymmetric information, and discussed the influence of insider information on the hedging effect. Through simulation analysis, it can be shown that hedging people with insider information can save hedging costs to a certain extent, which also explains the reason why investors try to obtain corporate information in actual investment activities.