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Present study examines the efficiency of futures contracts in hedging unwanted price risk over highly volatile period i.e. June 2000-December 2007 and January 2008-June 2014, pre and post-financial crisis period, by using S&PCNXNIFTY, CNXIT and BANKNIFTY for near month futures contracts. The hedge ratios have been estimated by using five methods namely Ederington's Model, ARMA-OLS, GARCH (p,q), EGARCH (p,q) and TGARCH (p,q). The study finds that hedging effectiveness increased during post crisis period for S&PCNXNIFTY and BANKNIFTY. However, for CNXIT hedging effectiveness was better during pre crisis period than post crisis. The study also finds that time-invariant hedge ratio is more efficient than time-variant hedge ratio.

Keywords

Hedge Ratio, Hedge Horizon, Basis Risk, Heteroscedasticity, Conditional Volatility.

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References

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An Analysis of Web Home Page Disclosure Practices of Top Public and Private Indian Banks

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Authors

Mandeep Kaur ¹, Manpreet Kaur ¹

Affiliations
1 Punjab Technical University, Jalandhar, Punjab, IN

Source

International Journal of Banking, Risk and Insurance, Vol 3, No 2 (2015), Pagination: 30-42

Abstract

Internet is a very powerful communication device to disclose financial and non-financial information. Almost every company today maintains its website and disseminates their information voluntarily. Internet is very exciting medium to disclose information in the form of presentation. It has become most frequently used source of information. This paper tries to examine the web home page disclosure practices of top public and private Indian banks and try to find out the relationship between the disclosure score and size of bank by using the sample of 20 banks which constitute of top public and private sector banks. The results show that there is positive relationship between the disclosure score and size of bank.

Keywords

Disclosure, Internet, Information.

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References

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http://tejas.iimb.ac.in/articles/27.php

Testing the Hedging Effectiveness of Index and Individual Stock Futures Contracts:Evidence from India

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Authors

Mandeep Kaur ¹, Kapil Gupta ¹

Affiliations
1 Department of Management, I. K. Gujral Punjab Technical University, Kapurthala, Punjab, IN

Source

International Journal of Banking, Risk and Insurance, Vol 6, No 2 (2018), Pagination: 54-66

Abstract

Present study attempts to estimate hedging effectiveness in Indian equity futures market using NIFTY50 index futures and its 17 composite stock futures (out of 50 stocks). The study uses near month futures contracts from their respective date of inception until March 31, 2017. The study applies eight methods, proposed in the literature, to estimate optimal hedge ratio namely; Naïve, Ederington’s OLS, ARMA-OLS, VAR, VECM, GARCH, EGARCH, and TARCH. It is observed that OLS hedge ratio provides highest hedging effectiveness, whereas lowest hedging effectiveness is given by Naïve and time-varying models. The above observations imply that constant hedging is more efficient than dynamic hedging which is consistent with the findings of Wang et al (2015) and Bonga and Umoetok (2016).

Keywords

Equity Futures Market, GARCH, Hedging Effectiveness, OLS, Optimal Hedge Ratio.

Full Text

References

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Harris, R. D., & Shen, J. (2003). Robust estimation of the optimal hedge ratio. Journal of Futures Markets, 23(8), 799-816.

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