TITLE:
Optimal Hedging Strategies of Stock Index Futures Based on the Perspective of Information Asymmetry
AUTHORS:
Jianhua Guo
KEYWORDS:
Stock Index Futures, Optimal Hedging Strategy, Information Asymmetry
JOURNAL NAME:
Open Journal of Applied Sciences,
Vol.10 No.2,
February
24,
2020
ABSTRACT: 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.