Abstract: With the promotion of the CSI 300 stock index future, we have the risk management tool in the China capital market. The paper investigates its optimal hedge ratios and hedging effectiveness based different models, which gives some suggestions for the investors in the future. Besides, for the real development of the CSI 300 stock index future, we investigate the impact of investors’ risk-aversion coefficients on the choice of the optimal hedge model.

Key words: hedging effectiveness, risk-aversion coefficient, optimal hedge ratios, Utility increase