Since 2014
Should Investor invest in both future and spot market? : An Analysis through Optimal Hedge Ratio
Asian Business Review
View Archive Info| Field | Value | |
| Title |
Should Investor invest in both future and spot market? : An Analysis through Optimal Hedge Ratio
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| Creator |
Jose, Babu; Department of Commerce, St. Thomas College, Pala, Kerala, INDIA
Lazar, D.; Department of Commerce, Pondicherry University, Pondicherry, INDIA |
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| Subject |
Hedge Ratio, Futures Market, Spot Market, Causal Relationship
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| Description |
This study is to estimate optimal hedge ratio with the variables from Indian futures and spot market and also nineteen individual stock prices. Diagonal VEC-GARCH model is used for the period from June 2000 to June 2011. The Empirical results confirm that there is effective risk sharing and hedging processes in Indian futures market. It is also found that Indian futures and spot markets have strong causal relationship; which allows the trader to make perfect arbitrage process and hedge their risks.
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| Publisher |
Asian Business Consortium
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| Contributor |
—
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| Date |
2015-03-03
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — |
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| Format |
application/pdf
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| Identifier |
http://journals.abc.us.org/index.php/abr/article/view/Jose
10.18034/abr.v1i1.333 |
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| Source |
Asian Business Review; Vol 1, No 1 (2012): Inaugural Issue; 21-29
2305-8730 2304-2613 |
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| Language |
eng
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| Relation |
http://journals.abc.us.org/index.php/abr/article/view/Jose/239
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| Rights |
Copyright (c) 2015 Babu Jose, D. Lazar
http://creativecommons.org/licenses/by-nc/4.0 |
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