Malaysian stock index futures market hedging effectiveness: symmetric and asymmetric model
With consistent repetition in the volatility of the market locally and globally, the portfolio managers are seriously concern about devaluation of their portfolio value. Hence, this study examines the hedging effectiveness of the Malaysian derivatives market using a dynamic modelling approach – GARC...
| Main Authors: | , |
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| Format: | Conference or Workshop Item |
| Language: | English English |
| Published: |
2017
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| Subjects: | |
| Online Access: | http://irep.iium.edu.my/59961/ http://irep.iium.edu.my/59961/ http://irep.iium.edu.my/59961/1/IIFWMF-24.pdf http://irep.iium.edu.my/59961/2/IIFWMF-24P.pdf |
| Summary: | With consistent repetition in the volatility of the market locally and globally, the portfolio managers are seriously concern about devaluation of their portfolio value. Hence, this study examines the hedging effectiveness of the Malaysian derivatives market using a dynamic modelling approach – GARCH and TGARCH models. Daily closed prices of KLCI, KLCI-F and basis are used for the period from June 1, 2009 to August 16, 2016. The study quantifies optimal hedge ratios prior to quantify effectiveness of the hedging mechanism in Malaysia. This study concludes that an asymmetric hedging model is more effective than a symmetric hedging model. This result support that hedging is dynamic and that Malaysian derivatives market is effective and the policy approach applied in preventing uneconomic participation in derivative market. |
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