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

conference contribution
posted on 01.01.2006, 00:00 authored by Prasad BhattacharyaPrasad Bhattacharya, Harminder SinghHarminder Singh, Gerard Gannon
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.

History

Event

Econometric Society Australasian Meetings (2006: Alice Springs, NT)

Publisher

[Econometric Society Australasian Meetings]

Location

Alice Springs, NT

Place of publication

[Alice Springs, N.T.]

Start date

04/07/2006

End date

07/07/2006

Language

eng

Publication classification

E1 Full written paper - refereed

Editor/Contributor(s)

P Bardsley

Title of proceedings

Econometric Society Australasian Meetings Papers

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