Examining the Hedging Effectiveness of Futures Contracts over Pre and Post Financial Crisis Period: Evidence from National Stock Exchange of India
2015 ◽
Vol 3
(2)
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Keyword(s):
Present study examines the efficiency of futures contracts in hedging unwanted price risk over highly volatile period i.e. June 2000 - December 2007 and January 2008 – June 2014, pre and post-financial crisis period, by using S&PC NXNIFTY, CNXIT and BANKNIFTY for near month futures contracts. The hedge ratios have been estimated by using five methods namely Ederingtons Model, ARMA-OLS, GARCH (p,q), EGARCH (p,q) and TGARCH (p,q). The study finds that hedging effectiveness increased during post crisis period for S&PC NXNIFTY and BANKNIFTY. However, for CNXIT hedging effectiveness was better during pre-crisis period than post crisis. The study also finds that time-invariant hedge ratio is more efficient than time-variant hedge ratio.
2015 ◽
Vol 10
(2)
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pp. 69-88
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2010 ◽
Vol 39
(5)
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pp. 659-686
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Keyword(s):
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2016 ◽
Vol 4
(9)
◽
pp. 143-150
Keyword(s):
2013 ◽
Vol 380-384
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pp. 4529-4536
Keyword(s):
2003 ◽
Vol 11
(2)
◽
pp. 51-79
Keyword(s):
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2018 ◽
Vol 2
(2)
◽
pp. 37-50