Hedging Effectiveness Analysis of High Market Cap Indian Stocks using OLS and GARCH Hedge Ratios

Hedging Effectiveness Analysis of High Market Cap Indian Stocks using OLS and GARCH Hedge Ratios

Dr. P.A.Mary Auxilia

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Hedging Effectiveness Analysis of High Market Cap Indian Stocks using OLS and GARCH Hedge Ratios

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References

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J Adams,C Montesi (1995). Major Issues Related to Hedge Accounts.
Tim Bollerslev (1986). Generalized autoregressive conditional heteroskedasticity.
Robert Engle (1982). Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation.
Tarun Ramadorai (2013). Eugene F. Fama, Lars Peter Hansen and Robert J. Shiller.
Eugene Fama,Lawrence Fisher,Michael Jensen,Richard Roll (1969). The Adjustment of Stock Prices to New Information.
Stephen Figlewski (1984). Hedging Performance and Basis Risk in Stock Index Futures.
Dwight Grant (1982). A market index futures contract and portfolio selection.
R Madhumathi,Gopal Naresh,M Ranganatham (2012). Determinants of Debt and Equity Mutual Fund Flows in India.
Mary Vishwanath,Panneerselvam (2013). A comparative study on beta hedging og high PE and Low PE stocks using Index futures with reference to NSE.
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(1998). L. C. Gupta Committee Report.
Ajit Singh (1997). FINANCIAL LIBERALISATION, STOCKMARKETS AND ECONOMIC DEVELOPMENT*.

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Funding

No external funding was declared for this work.

Conflict of Interest

The authors declare no conflict of interest.

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No ethics committee approval was required for this article type.

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How to Cite This Article

Dr. P.A.Mary Auxilia. 2017. \u201cHedging Effectiveness Analysis of High Market Cap Indian Stocks using OLS and GARCH Hedge Ratios\u201d. Global Journal of Management and Business Research - C: Finance GJMBR-C Volume 17 (GJMBR Volume 17 Issue C3).

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GJMBR Volume 17 Issue C3

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Journal Specifications

Crossref Journal DOI 10.17406/GJMBR

Print ISSN 0975-5853

e-ISSN 2249-4588

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Classification

GJMBR-C Classification JEL Code: E22

Submission ReceivedDecember 11, 2016
Peer Review Double Blind
Handling Editor
Accepted December 31, 2016
Published January 15, 2017

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v1.2

Issue date

July 15, 2017

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Article Matrices

Total Score: 106

Country: India

Subject: Global Journal of Management and Business Research - C: Finance

Authors: Dr. P.A.Mary Auxilia (PhD/Dr. count: 1)

View Count (all-time): 169

Total Views (Real + Logic): 3398

Total Downloads (simulated): 1757

Publish Date: 2017 07, Sat

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Total Views: 3398

Total Downloads: 1757

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