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ESTIMATING HEDGING EFFECTIVENESS USING VARIANCE REDUCTION AND RISK-RETURN APPROACHES: EVIDENCE FROM NATIONAL STOCK EXCHANGE OF INDIA

Object's details: ESTIMATING HEDGING EFFECTIVENESS USING VARIANCE REDUCTION AND RISK-RETURN APPROACHES: EVIDENCE FROM NATIONAL STOCK EXCHANGE OF INDIA

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Provider:Akademicka Platforma Czasopism

Description

Title:
ESTIMATING HEDGING EFFECTIVENESS USING VARIANCE REDUCTION AND RISK-RETURN APPROACHES: EVIDENCE FROM NATIONAL STOCK EXCHANGE OF INDIA
Creator:
Kaur, Mandeep;
Gupta, Kapil
Description:
The present study examines hedging effectiveness of futures contracts in India by using variance reduction approach and risk-return approach by applying eight econometric models. It is observed that OLS hedge ratio generates highest hedging effectiveness using variance reduction approach, whereas Naïve hedge ratio generates highest hedging effectiveness using risk-return approach. Overall, it is observed that time-invariant hedging model generates superior hedging effectiveness as compared to time-variant hedging model.
Object availability:
free access
Rights:
Prawa autorskie (c) 2020 Copernican Journal of Finance & Accounting
Date:
2020.06.04
Type:
info:eu-repo/semantics/article;
info:eu-repo/semantics/publishedVersion
Language:
English
Source:
Copernican Journal of Finance & Accounting; Vol. 8 No. 4 (2019); 149-169;
Copernican Journal of Finance & Accounting; Tom 8 Nr 4 (2019); 149-169;
2300-3065;
2300-1240
Format:
application/pdf
Publisher:
Uniwersytet Mikołaja Kopernika w Toruniu
Relation: https://apcz.umk.pl/CJFA/article/view/CJFA.2019.022/25776
Subject:
optimal hedge ratio;
hedging effectiveness;
GARCH;
OLS;
equity futures market;
C1;
C5;
G11;
G17
Identifier: https://apcz.umk.pl/CJFA/article/view/CJFA.2019.022
Data provider:
Akademicka Platforma Czasopism

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