IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!) to save this paper

Time-Varying Hedge Ratios: An Application to the Indian Stock Futures Market

Using different unconditional and conditional versions of the bivariate BEKK-GARCH model of Engle and Kroner, we calculate time-varying hedge ratios for Indian stock futures market involving a cross-section of seven firms across a spectrum of industries. These models are solved not only with the usual square root exponent but also analysed with an unrestricted version where the exponent is set to one. Our results show time-varying hedge ratios with the exponent set to one improve over hedge ratios obtained from the square root exponent setup as well as over static hedge ratios calculated from the error correction types of models. Time-varying optimal hedge ratio calculation in this new framework makes perfect sense in terms of portfolio allocation decision involving individual stock futures.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.deakin.edu.au/buslaw/aef/workingpapers/papers/2006-03aef.pdf
Download Restriction: no

Paper provided by Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance in its series Accounting, Finance, Financial Planning and Insurance Series with number 2006_03.

as
in new window

Length: 34 pages
Date of creation: 20 Aug 2006
Date of revision:
Handle: RePEc:dkn:acctwp:aef_2006_03
Contact details of provider: Postal:
221 Burwood Highway, Burwood 3125

Phone: 61 3 9244 3815
Fax: +61 3 5227 2655
Web page: http://www.deakin.edu.au/buslaw/aef/index.php
Email:


More information through EDIRC

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:dkn:acctwp:aef_2006_03. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dr Xueli Tang)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.