Estimating Hedging Effectiveness Using Variance Reduction and Risk-Return Approaches: Evidence From National Stock Exchange of India

• Autorzy: Mandeep Kaur , Kapil Gupta
• Języki publikacji: EN

Abstrakty

EN

The present study examines hedging effectiveness of futures contracts in India by using variance reduction approach and risk-return approach by applying eight econometric models. It is observed that OLS hedge ratio generates highest hedging effectiveness using variance reduction approach, whereas Naïve hedge ratio generates highest hedging effectiveness using risk-return approach. Overall, it is observed that time-invariant hedging model generates superior hedging effectiveness as compared to time-variant hedging model. (original abstract)

Słowa kluczowe

EN

Hedge against the risk; Equity market; Stock exchange; GARCH model

PL

Zabezpieczenie przed ryzykiem; Rynek akcji; Giełda; Model GARCH

• Czasopismo: Copernican Journal of Finance & Accounting
• Rocznik: 2019
• Tom: 8
• Numer: nr 4
• Strony: 149--169

Twórcy

autor

Mandeep Kaur

• I. K. Gujral Punjab Technical University, India

autor

Kapil Gupta

• I. K. Gujral Punjab Technical University, India

Bibliografia

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Identyfikatory

DOI

10.12775/CJFA.2019.022