In order to better demonstrate the effect of private placement hedging, we simulated the systemic downside risk of the stock market in the second quarter of 20 10.

At that time, it was a hedging strategy for China Southern Airlines. According to the trend of the Shanghai and Shenzhen 300 Index, the hedging is set at 20 10, which lasts about two and a half months from April 19 to July 2, 2009. On April 19, the closing price of China Southern Airlines was 8.4 1 yuan/share. Suppose investors hold shares in China Southern Airlines, with a market value of 1 18906 1 share. By July 2, the closing price of China Southern Airlines shares was 6.04 yuan/share, and the market value of investors' shares shrank by 28.2.

2. Initial hedging design of futures index

In the early stage of stock index futures listing, the futures price of far-month contract has a high premium, so June contract is chosen as the initial hedging contract. 19 April, 1006 contract closing price is 32 18, and the daily returns of China Southern Airlines and Shanghai and Shenzhen 300 Index from June 5438+09 to April 20 19, 2009 are regressed to calculate the stock price of China Southern Airlines relative to the Shanghai and Shenzhen 300 Index. According to the market data of April 19, the hedging quantity of 1006 contract = (10/00000/(3218 * 300)) *1.02 =10.56.

3. Dynamic adjustment of position

The change law of China Southern's beta value shows that its beta value is relatively stable, so the hedging position can be adjusted by using the standard of 5% beta value change range. The tracking of beta value can be updated every Friday, and it will be postponed to next Monday in case of holidays. Judging from the change of China Southern's beta value in the hedging period, the beta value on the last day of July 2 only changed by more than 5%, compared with April 19, so the hedging position was not adjusted due to the drastic change of beta value in the whole hedging process. However, on June 18, the hedging position was changed to July contract because the trading day was the June contract delivery date. Another reason for choosing the July contract is that the market may reverse after the stock index continues to fall, so it is appropriate to choose the contract with the most liquidity. Through calculation, the hedging quantity of 1007 contract = (8 million/(2718 * 300)) *1.06 =10.38, which is equivalent to1/kloc-0.