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.

Attached Files
Name Description MIMEType Size Downloads

Title Time varying hedge ratios : an application to the Indian stock futures market
Author(s) Bhattacharya, Prasad S.ORCID iD for Bhattacharya, Prasad S. orcid.org/0000-0003-2818-0835
Singh, HarminderORCID iD for Singh, Harminder orcid.org/0000-0003-2249-2387
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
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 C1 Refereed article in a scholarly journal
Persistent URL http://hdl.handle.net/10536/DRO/DU:30007309

Document type: Journal Article
Collections: Faculty of Business and Law
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.

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: 925 Abstract Views, 3 File Downloads  -  Detailed Statistics
Created: Mon, 29 Sep 2008, 08:50:39 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.