Abstract: Using EGARCH model, this thesis first investigates the hedging effectiveness of CSI300 index futures contracting with 10 heaviest warehouse stocks of the fund, and then investigates the hedging effectiveness of CSI300 index futures contracting with 10 stocks that are randomly selected from SME board of the Shenzhen Stock Exchange. It is found that the former hedging effectiveness is not very satisfactory, while the latter effectiveness is even worse. In order to offer more practical hedging tools, China should learn the experiences of overseas markets, and launch index futures on stocks of SME board and stocks of other industries as soon as possible, such as SME index futures. In the end, using the same method, this thesis carries on a simulative empirical test on the hedging performance of virtual SME index futures, which proves that the policy idea is worthy of being put into practice.

Key words: CSI300 index futures, hedge ratio, hedging effectiveness, SME index futures