IDEAS home Printed from https://ideas.repec.org/a/rss/jnljef/v4i2p5.html
   My bibliography  Save this article

Research of Risk Measure for the CSI 300 Index Futures

Author

Listed:
  • Qian Zhang

Abstract

The CSI 300 stock index futures are the first financial futures in China; it is also one of the effective hedging tools for investors in stock market. Effective management for risk of the CSI 300 stock index future market has important theoretical and practical significance. In this paper, on the basis of the existing risk measure research, we adopt the method of Monte Carlo respectively on long position and short position of CSI 300 stock index future to calculate the maximum loss, which is called value at risk. Additionally, we analyze the characteristics of the risk for the CSI 300 stock index future market since listed.

Suggested Citation

  • Qian Zhang, 2015. "Research of Risk Measure for the CSI 300 Index Futures," International Journal of Empirical Finance, Research Academy of Social Sciences, vol. 4(2), pages 116-122.
    • Handle: RePEc:rss:jnljef:v4i2p5
    as

    Download full text from publisher

    File URL: http://rassweb.org/admin/pages/ResearchPapers/Paper%205_1497099783.pdf
    Download Restriction: no
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:rss:jnljef:v4i2p5. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Danish Khalil (email available below). General contact details of provider: http://www.rassweb.org .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.