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

Bhattacharya, Prasad S., Singh, Harminder and Gannon, Garard 2007, Time varying hedge ratios : an application to the Indian stock futures market, Review of futures markets, vol. 16, no. 1, pp. 75-104.

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Title Time varying hedge ratios : an application to the Indian stock futures market
Author(s) Bhattacharya, Prasad S.
Singh, Harminder
Gannon, Garard
Journal name Review of futures markets
Volume number 16
Issue number 1
Start page 75
End page 104
Publisher Kent State University
Place of publication Kent, Ohio
Publication date 2007
ISSN 1933-7116
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 C1 Refereed article in a scholarly journal
Persistent URL http://hdl.handle.net/10536/DRO/DU:30007309

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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