Abstract

http://ssrn.com/abstract=1874526
 
 

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Hedging Effectiveness of Index Futures Contract: The Case of S&P CNX Nifty


A N Sah


UPES, Dehradun

Krishan Kumar Pandey


University of Petroleum & Energy Studies,Dehradun

June 29, 2011

Global Journal of Finance and Management, Vol. 3, No. 1, pp. 77-89, 2011

Abstract:     
Futures market performs an important function which is to provide effective hedging besides price discovery at distant future date to the market participants. The hedging effectiveness of the futures contract shows its utility in reducing the amount of risk. We estimated the effective hedge ratio and its hedging effectiveness for the S&P CNX Nifty futures using daily data from 12 June 2000 to 24 December 2008 by three models. The study found that Nifty futures contract provides effective hedging to the market players for hedging purpose.

Number of Pages in PDF File: 14

Keywords: Error correction models (ECMs), Minimum variance hedge ratio (MVHR), GARCH, OLS hedge

JEL Classification: A1, B2, B4, C5

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Date posted: June 29, 2011 ; Last revised: October 17, 2011

Suggested Citation

Sah, A N and Pandey, Krishan Kumar, Hedging Effectiveness of Index Futures Contract: The Case of S&P CNX Nifty (June 29, 2011). Global Journal of Finance and Management, Vol. 3, No. 1, pp. 77-89, 2011. Available at SSRN: http://ssrn.com/abstract=1874526

Contact Information

Ash Narayan Sah
UPES, Dehradun ( email )
UPES, Dehradun
Bidholi via Premnagar,
Dehradun, IN 248007
India
Krishan K. Pandey (Contact Author)
University of Petroleum & Energy Studies,Dehradun ( email )
Energy Acres, P.O. Bidholi Via Prem Nagar
Bidholi via Premnagar,
Dehradun, IN Uttarakhand 248007
India
9458314387 (Phone)
HOME PAGE: http://www.krishan.hpage.com
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