Malaysian stock index futures market hedging effectiveness: symmetric and asymmetric model

Malaysian stock index futures market hedging effectiveness: symmetric and asymmetric model

With consistent repetition in the volatility of the market locally and globally, portfolio managers are seriously concern on the destruction of their portfolio value. Hence, this study examines the hedging effectiveness of the Malaysian derivatives market using a dynamic modelling approach – GARCH a...

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Bibliographic Details
Main Authors: Haron, Razali, Ayojimi, Salami Monsurat
Format: Book Chapter
Language:English
Published: IIUM Institute of Islamic Banking and Finance 2019
Subjects:
HG Finance
HG4501 Stocks, investment, speculation
Online Access:http://irep.iium.edu.my/73088/
http://irep.iium.edu.my/73088/1/73088_Malaysian%20stock%20index%20futures%20market.pdf
id iium-73088
recordtype eprints
spelling iium-730882020-01-28T02:03:22Z http://irep.iium.edu.my/73088/ Malaysian stock index futures market hedging effectiveness: symmetric and asymmetric model Haron, Razali Ayojimi, Salami Monsurat HG Finance HG4501 Stocks, investment, speculation With consistent repetition in the volatility of the market locally and globally, portfolio managers are seriously concern on the destruction 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 closing 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 supports that hedging is dynamic and effective in the Malaysian derivative market. IIUM Institute of Islamic Banking and Finance Haron, Razali Abdullah, Adam 2019-07-04 Book Chapter PeerReviewed application/pdf en http://irep.iium.edu.my/73088/1/73088_Malaysian%20stock%20index%20futures%20market.pdf Haron, Razali and Ayojimi, Salami Monsurat (2019) Malaysian stock index futures market hedging effectiveness: symmetric and asymmetric model. In: Islamic Fund & Wealth Management. A way forward. IIUM Institute of Islamic Banking and Finance, Kuala Lumpur, pp. 197-207. ISBN 978-983-44568-4-9
repository_type Digital Repository
institution_category Local University
institution International Islamic University Malaysia
building IIUM Repository
collection Online Access
language English
topic HG Finance
HG4501 Stocks, investment, speculation
spellingShingle HG Finance
HG4501 Stocks, investment, speculation
Haron, Razali
Ayojimi, Salami Monsurat
Malaysian stock index futures market hedging effectiveness: symmetric and asymmetric model
description With consistent repetition in the volatility of the market locally and globally, portfolio managers are seriously concern on the destruction 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 closing 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 supports that hedging is dynamic and effective in the Malaysian derivative market.
author2 Haron, Razali
author_facet Haron, Razali
Haron, Razali
Ayojimi, Salami Monsurat
format Book Chapter
author Haron, Razali
Ayojimi, Salami Monsurat
author_sort Haron, Razali
title Malaysian stock index futures market hedging effectiveness: symmetric and asymmetric model
title_short Malaysian stock index futures market hedging effectiveness: symmetric and asymmetric model
title_full Malaysian stock index futures market hedging effectiveness: symmetric and asymmetric model
title_fullStr Malaysian stock index futures market hedging effectiveness: symmetric and asymmetric model
title_full_unstemmed Malaysian stock index futures market hedging effectiveness: symmetric and asymmetric model
title_sort malaysian stock index futures market hedging effectiveness: symmetric and asymmetric model
publisher IIUM Institute of Islamic Banking and Finance
publishDate 2019
url http://irep.iium.edu.my/73088/
http://irep.iium.edu.my/73088/1/73088_Malaysian%20stock%20index%20futures%20market.pdf
first_indexed 2023-09-18T21:43:38Z
last_indexed 2023-09-18T21:43:38Z
_version_ 1777413305232523264

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