Evidence on Hedging Effectiveness in Indian Derivatives Market

被引：5
|
作者：
Kumar B.P. [1 ]
Supriya M.V. [2 ]
机构：
[1] Xavier Institute of Management and Entrepreneurship, Electronic City Phase II, Bangalore, 560 100 Karnataka, Hosur Road
[2] Department of Management Studies, Anna University, Chennai
来源：
Asia-Pacific Financial Markets | 2014年 / 21卷 / 2期
关键词：
Bank futures; CNX nifty; Constant correlation generalized auto-regressive conditional heteroscedasticity (1; 1)hedging method; Hedging effectiveness;
D O I：
10.1007/s10690-014-9179-6
中图分类号：
学科分类号：
摘要：
The hedging effectiveness for bank futures and CNX nifty are evaluated in this study. The study is based on 9,569 observations of the daily data for these index futures. For evaluation ordinary least square, co-integrated ordinary least square, generalized auto-regressive conditional heteroscedasticity (1, 1), and constant correlation generalized auto-regressive conditional heteroscedasticity (1, 1) hedging methods are estimated and compared. Result shows that constant correlation generalized auto-regressive conditional heteroscedasticity (1, 1) is an efficient hedging method that maximizes investors' utility function considering transaction costs. Therefore, investors can rely on this constant correlation generalized auto-regressive conditional heteroscedasticity (1, 1) hedging method. © 2014 Springer Japan.
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页码：121 / 131
页数：10
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