An Empirical Study on the Hedging of CSI 300 Index Futures for the Risk Management of the Commerce Style Fund Investment of Shanghai Stock Exchange
This paper examines the hedging of CSI 300 index futures for the risk management of fund investment in China stock market. The data used in the analysis covered the period of one and a half year, from April 16, 2010 to September 23, 2011, comprising 353 observations. Two models (OLS and VECM) are used to estimate constant hedge ratio. To estimate dynamic hedge raito, we use GARCH (1, 1) model. In?sample and out?of?the?sample analysis were employed in this paper. The estimation period of in?sample is the whole period while the estimation period of out?of?the?sample is the period from the start to 343rd observations. That is, hedge performance was measured and analyzed by using the last 10 observations. According to the results of hedging effectiveness analysis, we can address the following conclusions : First, the ADF and PP unit root test values of their first difference sequences are stationary at 1% level. Second, the results of cointegration test suggest that there is a long term relationship between CSI 300 index futures and Commerce Style Fund. Third, hedge ratios estimated by VECM model are more efficient in reducing the risk of Commerce Style Fund Index. Finally, there are no significantly differ in hedging performance calculated by several models.
Activity Based Costing in the Commercial Banks
The competitive environment in the commercial banking industry has made it very difficult to increase revenue and market share that is sufficient in growth and maximizing shareholder’s wealth. The only way to control expenses is to have a better understanding of how certain products and how they are setup to contribute to overall expenses in day to day operation of the commercial bank. Activity?based costing will give bank managers a greater understanding of the true cost and profitability of all transactions in daily processes in the commercial banks. I research study shows the profitability of the loan Activity?Based Costing. And needs of cost management is increasing in management and so, it is necessary that to change the costing system.
Modelling environmental impacts of marine finfish aquaculture
Summary Our understanding of the interactions between fish farms and the environment has reached the stage where it is reasonable to expect that quantitative estimates of the possible environmental consequences of aquaculture development can be provided for regulatory and mitigation purposes. This paper summarizes recent developments in this area and provides several case histories of areas where theoretical analyses appear to have direct practical relevance. Fish wastes