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Gupta, Kapil

• Impact of Equity Futures Trading on Cash Market Volatility and Information Assimilation Efficiency: Evidence from India

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Authors

Kapil Gupta ¹, Balwinder Singh ²

Affiliations
1 Assistant Professor, Department of Management, Punjab Institute of Technology, Punjab Technical University, Kapurthala, Punjab, IN
2 Associate Professor & Head of Department, Department of Commerce and Business Management, Guru Nanak Dev University, Amritsar, Punjab, IN

Source

International Journal of Financial Management, Vol 3, No 4 (2013), Pagination: 35-68

Abstract

Present study analyzes the impact of futures trading on cash market volatility and information dissemination efficiency both on index as well as individual stocks trading at National Stock Exchange of India. Surrogate index has been used to control the impact of other market reforms introduced in India. Returns in the cash market have been observed to be asymmetric in nature and it has been found that after introduction of futures trading in the Indian capital market, cash market volatility has decreased. It has also been found that although information assimilation efficiency in the cash market after introducing futures trading remains inefficient but the role of new information in the price discovery process has increased. Furthermore, it has been observed that both volatility and daily returns are different across various trading days of the week but both returns and volatility are highly significant around the settlement day of the futures contracts

Keywords

Conditional Volatility, Information Assimilation Efficiency, Settlement Effect, Information Spillover, Surrogate Index, Seasonality in Returns and Volatility

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• Examining the Strength of Comovement of Prices in Futures and Cash Markets: Evidence from India

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Authors

Kapil Gupta ¹, Balwinder Singh ²

Affiliations
1 Punjab Institute of Technology, Ptu-main University Campus, Kapurthala, Punjab, IN
2 Guru Nank Dev University, Amritsar, Punjab, IN

Source

International Journal of Financial Management, Vol 4, No 1 (2014), Pagination: 34-73

Abstract

The present study examines the arbitrage efficiency of the Indian equity market by using the daily closing prices of near month futures contracts and cash market. Substantial and sustained wave like mispricings in two markets have been observed, which provides exploitable arbitrage opportunities to the traders. However, due to mark-to-market these mispricings do not persist over long period. Moreover, it has been observed that are positively correlated with the time-tomaturity of the futures contracts, which suggests that strong arbitrage base is present in the market. Mean reverting behaviour of mispricings also suggest that early liquidation option may be more profitable than holding the positions until the expiry date.

Keywords

Cost of carry model, Mispricings, Mean reversion, Early unwinding of open positions and liquidity

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• Examining the Hedging Effectiveness of Futures Contracts over Pre and Post Financial Crisis Period:Evidence from National Stock Exchange of India

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Authors

Kapil Gupta ¹, Mandeep Kaur ¹

Affiliations
1 Punjab Institute of Management (PIM), I. K. Gujral Punjab Technical University, Kapurthala, Punjab, IN

Source

International Journal of Banking, Risk and Insurance, Vol 3, No 2 (2015), Pagination: 10-29

Abstract

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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• Pricing Efficiency of Equity Index Option Contracts: Evidence from National Stock Exchange of India

Abstract Views :218  |  PDF Views:0

Authors

Uma Shankar ¹, Kapil Gupta ²

Affiliations
1 Planning Department, Uttar Pradesh, IN
2 Punjab Institute of Management (PIM), I. K. Gujral Punjab Technical University, Main Campus, Jalandhar-Kapurthala Highway, Kapurthala, IN

Source

Journal of Commerce and Accounting Research, Vol 5, No 1 (2016), Pagination: 1-25

Abstract

The present study examines the pricing efficiency of equity index options traded at National Stock Exchange of India by comparing the premium of options contracts traded on NIFTY, BANKNIFTY, CNXIT, NIFTYJUNIOR, and CNX100 indices with their respective theoretical price estimated by using Black-Scholes Model. 91-day T-Bill rate is used as risk-free rate and standard deviation computed on daily returns of the underlying index is used as volatility to estimate the theoretical prices. Pricing efficiency has been tested both for daily closing prices per se as well as for the In-the-Money, At-the-Money, and Out-of-the-Money options contracts.

Mean Absolute Errors (MAE), Mean Squared Errors (MSE), Root Mean Squared Errors (RMSE), and Theil's U statistics suggest that the premium of equity index options contracts do not follow Black-Scholes Model.

Keywords

Option Premium, Liquidity, Volatility, Arbitrage, Put-Call-Parity.

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• Effect of Post Annealing on the Structural Properties of Vanadium Oxide Thin Film Deposited by RF Sputtering

Abstract Views :162  |  PDF Views:0

Authors

Kapil Gupta ¹, Sarvesh Kumar ¹

Affiliations
1 Department of Physics, Faculty of Engineering and Technology, Manav Rachna International University, Sector-43, Faridabad – 121004, Haryana, IN

Source

Indian Journal of Science and Technology, Vol 10, No 42 (2017), Pagination: 

Abstract

Objective: To deposit the highly crystalline thin film of vanadium pentoxide on Si substrate. Method: In this work, we deposited vanadium oxide thin films by RF sputtering setup. These deposited thin films were annealed at 500°C for 1 hour in argon atmosphere. Grazing Incidence X-Ray Diffraction (GIXRD), Raman Spectroscopy and Fourier Transform Infrared Spectroscopy (FTIR) are used to analyze structural properties of as-deposited and annealed thin films of vanadium oxide. Finding: GIXRD spectra of annealed film revealed that highly crystalline thin film of vanadium pentoxide (V₂O₅) is obtained. The texture of the film is oriented along c- axis, perpendicular to the surface of the Si substrate and it’s a, b axis are parallel to the surface of substrate. Raman Spectroscopy and FTIR results confirmed the layered structure of the annealed vanadium pentoxide thin film. After post annealing, the highly crystalline and layered structure of V₂O₅ thin film on Si substrate is obtained. Applications: Vanadium pentoxide thin films are used in electrochromic devices, lithium batteries, and energy storage devices and as toxic gas sensors.

Keywords

Vanadium Pentoxide (V2O5), Grazing Incidence X-Ray Diffraction (GIXRD), Raman Spectroscopy, RF Sputtering

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• Relationship between Directors’ Diversity and IPO Underpricing:Evidence from India

Abstract Views :196  |  PDF Views:0

Authors

Balpreet Singh ¹, Kapil Gupta ¹

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

Source

Journal of Commerce and Accounting Research, Vol 7, No 1 (2018), Pagination: 30-39

Abstract

The present study attempts to examine the relationship between the presence of foreign directors on the board of the newly listing companies and Initial Public Offerings (IPOs) on listing day returns. Sample of 367 IPOs issued in India from 2004 to 2014 are examined and the average initial excess return which measures IPO underpricing is found to be 21 percent. Taking lead from existing literature on IPO underpricing, various board related, issue related and company related variables are examined and a significant relationship of issue size, level of subscription, and professional associations of the directors with the initial day returns is observed in this study. Furthermore, it is found that only 28% of the sample companies have foreign directors present on their board at the time of IPO. The findings imply that the presence of the foreign directors on board does not curtail IPO underpricing.

Keywords

Foreign Directors, Initial Public Offering, Underpricing, India.

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• Hedging Effectiveness of Futures Contracts:A Study of Select Stocks in Indian Tourism and Hospitality Sector

Abstract Views :246  |  PDF Views:0

Authors

Mandeep Kaur ¹, Kapil Gupta ¹

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

Source

Journal of Hospitality Application and Research, Vol 13, No 1 (2018), Pagination: 1-15

Abstract

This paper investigates the hedge effectiveness of futures contracts of tourism and hospitality sector in India using four sample stocks namely, ADANIPORTS, APOLLOHOSP, CONCOR and JETAIRWAYS, traded at NSE, for which data has been collected from January 1, 2016 to December 31, 2017 for near month futures contracts. The optimal hedge ratio is estimated using five specifications: naive, ordinary least square, autoregressive moving average ordinary least squares, vector autoregression and vector error correction. The study finds that one-to-one naive model provides superior hedging effectiveness over all the other models, implying equal investment in both spot and futures market to achieve highest effectiveness. Overall, the study finds that tourism and hospitality sector provides an effective platform for hedging with futures contracts.

Keywords

Tourism, Hospitality, Futures Contract, Hedging Effectiveness and Optimal Hedge Ratio.

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References

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• Estimation of Hedging Effectiveness Using Variance Reduction and Risk-return Approaches:Evidence From National Stock Exchange of India

Abstract Views :278  |  PDF Views:1

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 Business Analytics and Intelligence, Vol 6, No 1 (2018), Pagination: 35-46

Abstract

Present study estimates the hedging effectiveness by applying variance-reduction framework and risk-return framework using near month contracts of three benchmark indices (NIFTY50, NIFTYIT, and BANKNIFTY) traded at National Stock Exchange of India (NSE) for the sample period from June 2000 to March 31, 2017 by using nine optimal hedge ratio models. Out of these nine models, six are constant hedging models and three are time-varying hedging models. The study finds that using variance-reduction framework, highest hedging effectiveness is achieved using Ordinary Least Square model; whereas, 1:1 naïve hedge ratio gives lowest hedging effectiveness. On the other hand, when hedging effectiveness is estimated in a risk-return framework, naïve hedge ratio gives highest hedging effectiveness; whereas, OLS gives the least estimate. Secondly, the coefficients of both optimal hedge ratio as well as hedging effectiveness have increased during post-crisis period implying an increase in the cost of hedging. These findings suggests that conventional hedging models are more efficient than highly complicated time-varying hedging models for estimating optimal hedge ratio, these findings are consistent with the findings of Lien (2005), Bhaduri and Durai (2007), Bhargava (2007), Mandal (2011), Wang et al. (2015).

Keywords

Hedging Effectiveness, Optimal Hedge Ratio, Equity Futures Market, Generalized Auto-Regressive Conditional Heteroscedasticity (GARCH), Constant Hedge Ratio, Time-Varying Hedge Ratio.

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

Abstract Views :251  |  PDF Views:0

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

     

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• Relationship Between Management Quality Certification and IPO Underpricing:Evidence from India

Abstract Views :243  |  PDF Views:0

Authors

Balpreet Singh ¹, Kapil Gupta ¹

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

Source

Journal of Entrepreneurship & Management, Vol 7, No 3 (2018), Pagination: 1-10

Abstract

The present study is an attempt to contribute to the extent literature on the Initial Public Offering (IPO) underpricing as it distinctively examines the relationship between the quality certifications used by issuers and the listing day returns of IPOs. The uniqueness of this study also lies in being one of the initial efforts to explore the quality certifications used by the issuers at the time of IPO in India. A sample period of 11 years, that is, 2004-2014, is examined. The average initial excess return (IPO underpricing) is observed at 21%. Taking a lead from the existing literature on IPO underpricing, various board-related, issue-related, and company-related variables were considered for an empirical analysis. It has been observed that the issue-related variables namely, issue size, listing delay, subscription ratio, and financial leverage, are significant. In addition, proxies used for management quality namely, professional associations of the board members, presence of female directors, and role duality, also significantly explain the IPO underpricing. These findings are consistent with Chemmanur and Paeglis (2005) and Reutzel and Belsito (2015).

Keywords

Management Quality, Initial Public Offering (IPO), Underpricing, India.

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• Testing the Long Memory Feature in Indian Equity Market

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Authors

Anju Bala ¹, Kapil Gupta ²

Affiliations
1 Department of Management, I.K.Gujral Punjab Technical University, Jalandhar, Punjab, IN
2 epartment of Management, I.K.Gujral Punjab Technical University, Jalandhar, Punjab, IN

Source

Optimization: Journal of Research in Management, Vol 10, No 2 (2018), Pagination: 24-33

Abstract

The Present paper examined the long memory behavior in Indian equity market. This paper uses the data from January 2000 to March 2018 of Sensex, Nifty-50 and VIX. By using the Rescaled range analysis as proposed by Lo (1951) ‘Hurst Exponent’, this indicates that there is significant long memory in Sensex and Nifty-50 returns series. However, volatility does not show any persistence but exhibit clustering. The study conclude that there is not persistence behavior with respect to long memory effect on Nifty-50 returns subject to occurrence of structural breaks(demonization).The study concludes with managerial relevance and issued for futures research. Findings would be beneficial for the investors, practitioners, academics and policy makers etc. To the best of our knowledge, there is dearth of literature on the subject in Indian equity market. Therefore the present study is an attempt to plug this gap.

Keywords

Long Memory, Hurst Exponent, Volatility Clustering, Market Efficiency, Structural Breaks.

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• Impact of Merger Announcements on Stock Returns of Acquiring Firms:Evidence from India

Abstract Views :206  |  PDF Views:0

Authors

Pinky Mall ¹, Kapil Gupta ¹

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

Source

Journal of Commerce and Accounting Research, Vol 8, No 1 (2019), Pagination: 46-53

Abstract

Present study examines the impact of merger events on stock returns of acquiring firms. The sample size is composed of 428 merger events that took place during 2008 to 2015 other than financial sector and agricultural mergers. Event study methodology has been applied by using seventeen days event window i.e. -8 to +8 days stock returns. Results indicate that merger deals do not bring any abnormal changes in stock returns pre and post event date, which implies that traders are not able to gain abnormal returns in pre-post event period. These findings are consistent with Bradley et al., (1988); Servaes, (1991); Mulherin and Boone, (2000), Khan (2011), Kemal (2011), Khanal et al. (2014). The findings obtained from this research may be helpful for researchers, fund managers, market regulators, investment managers etc.

Keywords

Merger, Acquisition, Stock Return, Event Study Analysis, Average Abnormal Return, Cumulative Average Abnormal Return.

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• Examining the Performance of Initial Public Offerings:A Study of Indian Hospitality and Tourism Industry

Abstract Views :154  |  PDF Views:0

Authors

Balpreet Singh ¹, Kapil Gupta ¹

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

Source

Journal of Hospitality Application and Research, Vol 13, No 2 (2018), Pagination: 63-72

Abstract

Present study is an attempt to examine the listing day market performance of public issues floated by hospitality and tourism firms in India. During the sample period of 15 years (from January 2004 to March 2018) the average initial day Market Adjusted Excess Return (MAER) was found to be 18.8%. Further, the average return of travel support services segment was observed to be highest within the sector. The findings of the study are consistent with Chen and Chen, (2010).

Keywords

Hospitality and Tourism Industry, Initial Public Offerings (IPOs), Underpricing.

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References

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• Impact of Mergers on Stock Performance and Risk of Acquiring Firms:Evidence from India

Abstract Views :162  |  PDF Views:0

Authors

Pinky Mall ¹, Kapil Gupta ²

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

Source

Drishtikon: A Management Journal, Vol 10, No 1 (2019), Pagination: 27-46

Abstract

This study examines the wealth effects of merger announcements on acquirer firms in India, by primarily focusing on two stock characteristics i.e. stock return and stock volatility. Sample of 429 merger announcements in India from 2008 to 2015 are examined and an event window of 21 days is taken to analyses the impact of such announcements on acquirer’s stock return and stock volatility. It is found that there is change in return and a jump in spread of returns after event day, and it continues up to two days post event. These findings imply that shareholders of acquirer firms generate average abnormal returns from merger events during and after announcement and returns become negative in long run in context to India. These results are similar with the results by Rani et al. (2013); Karels et al. (2011); Khanal et al. (2011); Mulherin and Boone (2011). In case of return volatility, a sharp increase in fluctuations is observed on the day of merger announcement. These findings are consistent with the findings by studies conducted by Kamerschen; (2008); Bharath and Wu (2005); Langetieg et al. (1980).

Keywords

Shareholder’s Wealth, Volatility, Stock Return, Average Abnormal Return, Event Study.

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• Long Term Memory:Evidence from Major Sectoral Indices of India

Abstract Views :222  |  PDF Views:0

Authors

Anju Bala ¹, Kapil Gupta ²

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

Source

International Journal of Business Analytics and Intelligence, Vol 7, No 1 (2019), Pagination: 24-35

Abstract

This paper tests the existence of long term memory with reference to structural changes/breaks in Indian Stock Market. Furthermore, the present paper applied Hurst Exponent in Rescaled Range Analysis as suggested by Hurst (1951) and Lo (1991) and structural breaks detected by using Multiple Break Test (Balcilar et al., 2015) by using daily returns of sectoral indices from January 2010 to May 2018. Empirical evidence shows the predictable structure in all sectoral indices (2010-2018) except Nifty Private Bank with H value 0.4972. The findings imply that existence of long memory would be useful for the investors, practitioners, academicians, and policymakers.

Keywords

Emerging Market, Long Term Memory, Hurst Exponent, Structural Breaks, Market Efficiency.

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• Impact of Merger and Acquisition Announcements on Stock Returns and Intraday Volatility:Evidence from Indian Banking Sector

Abstract Views :249  |  PDF Views:1

Authors

Pinky Mall ¹, Kapil Gupta ²

Affiliations
1 Doctoral Student, Department of Management, I.K. Gujral Punjab Technical University, Kapurthala, Punjab, IN
2 Assistant Professor, Department of Management, I.K. Gujral Punjab Technical University, Kapurthala, Punjab, IN

Source

Journal of Entrepreneurship & Management, Vol 8, No 3 (2019), Pagination: 1-11

Abstract

The primary objective of present study is to examine the impact of merger and acquisition announcements during 2000-2018 on stock returns and intraday volatility of banks listed on National Stock Exchange in India. The sample of 383 mergers and acquisitions events has been analyzed with the help of event study methodology. Findings suggest that consolidation in Indian banking sector leads to positive average abnormal returns and wealth creation for acquirer bank’s shareholders. These findings are in agreement with Onikoyi et al. (2014), Kumar et al. (2011), and Anand and Singh (2008), and contrary to the evidence provided by Sim (2015), Asimakopoulos and Athanasoglou (2012), and Cybo-Ottone and Murgia, (2000). Further, results show that merger and acquisition in banking sector lead to curvy jumps in volatility around announcement date, which implies that disclosure of restructuring events in the banking sector affects return variability. These results confirm the observations by Pessanha et al. (2016), Kamau (2016), and Louhichi (2008).

Keywords

Acquisition, Merger, Stock Return, Average Abnormal Return, Volatility, Event Study Analysis.

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• Comparative Analysis of Image Segmentation Techniques

Abstract Views :149  |  PDF Views:0

Authors

Snehil Saxena ¹, Sidharth Jain ¹, Saurabh Tripathi ¹, Kapil Gupta ¹

Affiliations
1 Department of Computer Applications,National Institute of Technology,Kurukshetra, IN

Source

Research Cell: An International Journal of Engineering Sciences, Vol 32 (2020), Pagination: 13-20

Abstract

Image segmentation is a prominent task done in computer vision. Image thresholding is one such technique in image segmentation. Thresholding is a method of categorizing image intensities into two classes and on basis of that yielding an image which is a binary image, and ideally also has all the fine details of region of interest which an image should have for analysis. Image thresholding is widely used as it reduces the computational cost of processing the image and makes processing feasible in real world applications like medical imaging, object detection, recognition task, character recognition etc. This paper dwells into the depth of thresholding techniques to know which technique can perform better on all kind of images so as to extract region of interest. We found out that not every technique is good for all cases, Otsu’s global thresholding is a promising and faster way to segment and generate a binary image, but works well with images having negligible noise and region of interest already being very much clear in original image. Whereas the hybrid technique used are combination of global and local thresholding.

Keywords

Segmentation, Thresholding, Otsu’s, Niblack’s, Sauvola’s, Image Processing.

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References

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• YOLO-An Object Detection Algorithm

Abstract Views :149  |  PDF Views:0

Authors

Bhawna Vohra ¹, Kapil Gupta ¹

Affiliations
1 Department of Computer Applications, National Institute of Technology, Kurukshetra, IN

Source

Research Cell: An International Journal of Engineering Sciences, Vol 32 (2020), Pagination: 29-43

Abstract

In this paper, an approach to object detection known as YOLO is presented. It is extremely fast. We use this algorithm to detect multiple objects in an image. The base YOLO model processes image in real-time at 45 frames per second. YOLO outperforms other detection methods including R-CNN as it is more generalized. It works on various types of datasets including artworks.

Keywords

YOLO, Object Detection, RCNN.

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References

• Redmon, J., Divvala, S., Girshick, R., & Farhadi, A. (2016). You only look once: Unified, real-time object detection. In Proceedings of the IEEE conference on computer vision and pattern recognition (pp. 779-788).
• Redmon, J., & Farhadi, A. (2017). YOLO9000: better, faster, stronger. In Proceedings of the IEEE conference on computer vision and pattern recognition (pp. 7263-7271).
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• Testing the Hedging Effectiveness of Indian Equity and Currency Futures Contracts

Abstract Views :166  |  PDF Views:0

Authors

Mandeep Kaur ¹, Kapil Gupta ¹

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

Source

Journal of Commerce and Accounting Research, Vol 9, No 4 (2020), Pagination: 11-17

Abstract

Hedging is widely used as a risk-minimizing mechanism where hedgers invest simultaneously in cash and futures market, but in opposite direction, so that the price change in one market offsets price change in another market. Present study attempts to examine the hedging effectiveness of equity and currency futures contracts traded at National Stock Exchange of India, over the period January 2011 to December 2018. The sample size consists of three benchmark indices of equity futures market (i.e. NIFTY50, NIFTYIT and BANKNIFTY) and four currency futures contracts (i.e. USD, EURO, YEN and GBP). Optimal hedge ratios have been estimated by using five different methods. The findings suggest that equity futures market is more efficient as compared to currency futures market as variance reduction is found to be more than 95% in case of equity futures contracts; whereas in case of currency futures contracts, it is found to be less than 40%. Secondly, it is also found that for six (out of seven futures contracts understudy), hedging effectiveness is found to be highest using Ordinary Least Square (OLS) method, whereas for only NIFTYIT, it is found to be highest using Vector Autoregression (VAR) and Vector Error Correction model (VECM) methods of estimating optimal hedge ratio. Hence, the study also suggests that constant hedge ratios perform superior to time-varying hedge ratios.

Keywords

Optimal Hedge Ratio, Hedging Effectiveness, Currency Futures, Equity Futures.

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