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.].

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Title Time-varying hedge ratios: an application to the Indian stock futures market
Author(s) Bhattacharya, PrasadORCID iD for Bhattacharya, Prasad orcid.org/0000-0003-2818-0835
Singh, HarminderORCID iD for Singh, Harminder orcid.org/0000-0003-2249-2387
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
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
Collections: Faculty of Business and Law
School of Accounting, Economics and Finance
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