ESTIMATING HEDGING EFFECTIVENESS USING VARIANCE REDUCTION AND RISK-RETURN APPROACHES: EVIDENCE FROM NATIONAL STOCK EXCHANGE OF INDIA
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 Na...
Main Authors: | Mandeep Kaur, Kapil Gupta |
---|---|
Format: | Article |
Language: | English |
Published: |
Nicolaus Copernicus University in Toruń
2020-06-01
|
Series: | Copernican Journal of Finance & Accounting |
Subjects: | |
Online Access: | https://apcz.umk.pl/czasopisma/index.php/CJFA/article/view/30369 |
Similar Items
-
ESTIMATING HEDGING EFFECTIVENESS USING VARIANCE REDUCTION AND RISK-RETURN APPROACHES: EVIDENCE FROM NATIONAL STOCK EXCHANGE OF INDIA
by: Mandeep Kaur, et al.
Published: (2020-06-01) -
Estimation of Constant and Time-varying Optimal Hedge Ratio and Hedging Effectiveness in the Natural gas Futures Market
by: Mohammad Alimoradi
Published: (2013-10-01) -
Cross-Hedging Portfolios in Emerging Stock Markets: Evidence for the LATIBEX Index
by: Pablo Urtubia, et al.
Published: (2021-10-01) -
The influence of the spillover between futures and spot markets on hedging policy: evidence from Chinese stock markets
by: Kai Shi, et al.
Published: (2023-11-01) -
Study the Optimal Hedge Ratio in Exchange Rate and gold in developing and newfound financial Markets: Case Study of Tehran Stock Exchange and Istanbul
by: Mohsen Mehrara, et al.
Published: (2018-03-01)