You are not logged in.

Time-varying hedge ratios: an application to the Indian stock futures market

Bhattacharya, Prasad, Singh, Harminder and Gannon, Gerard 2006, Time-varying hedge ratios: an application to the Indian stock futures market, in Econometric Society Australasian Meetings Papers, [Econometric Society Australasian Meetings], [Alice Springs, N.T.].

Attached Files
Name Description MIMEType Size Downloads

Title Time-varying hedge ratios: an application to the Indian stock futures market
Author(s) Bhattacharya, Prasad
Singh, Harminder
Gannon, Gerard
Conference name Econometric Society Australasian Meetings (2006: Alice Springs, NT)
Conference location Alice Springs, NT
Conference dates 4-7 July 2006
Title of proceedings Econometric Society Australasian Meetings Papers
Editor(s) Bardsley, Peter
Publication date 2006
Conference series Econometric Society Australasian Conference
Total pages 33
Publisher [Econometric Society Australasian Meetings]
Place of publication [Alice Springs, N.T.]
Keyword(s) Bivariate BEKK-GARCH
stock futures
dynamic hedging
India
Summary This paper investigates time-varying optimal hedge ratios in individual stock futures markets in India. The analysis employs data on individual stock futures from an unexplored but highly traded (both in terms of volume and quantity) emerging market. The hedge ratios derived in this study incorporate mean reversion in volatility, which is an important extension of the bivariate BEKK-GARCH model of Engle and Kroner. This extension generates improved optimal hedge ratios over the traditional BEKK-GARCH model and static error correction type alternatives.
Language eng
Field of Research 140302 Econometric and Statistical Methods
HERDC Research category E1 Full written paper - refereed
Persistent URL http://hdl.handle.net/10536/DRO/DU:30005933

Document type: Conference Paper
Collection: School of Accounting, Economics and Finance
Connect to link resolver
 
Unless expressly stated otherwise, the copyright for items in DRO is owned by the author, with all rights reserved.

Versions
Version Filter Type
Citation counts: TR Web of Science Citation Count  Cited 0 times in TR Web of Science
Scopus Citation Count Cited 0 times in Scopus
Google Scholar Search Google Scholar
Access Statistics: 667 Abstract Views, 4 File Downloads  -  Detailed Statistics
Created: Mon, 07 Jul 2008, 09:56:15 EST

Every reasonable effort has been made to ensure that permission has been obtained for items included in DRO. If you believe that your rights have been infringed by this repository, please contact drosupport@deakin.edu.au.