Journal of Commerce and Accounting Research

Mandeep Kaur ¹, Kapil Gupta ¹

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

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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Manpreet Kaur ¹, Mandeep Kaur ¹

Affiliations
1 Assistant Professor, I. K. Gujral Punjab Technical University, Kapurthala, Punjab, IN

Abstract

This paper examines the association between bank-specific attributes (such as bank size, financial performance and corporate governance) and web disclosure practices of top thirty Indian commercial banks. To meet this purpose, a disclosure index of 101 items of information was developed. To examine the hypotheses of the study, an OLS Regression model was estimated on the sample of top thirty Indian banks. OLS regression results indicate that large-sized banks are more likely to use the websites to disclose information. On the contrary, financial performance and corporate governance practices have not shown any relationship with the disclosure score of Indian banks. The study contributes to the existing literature on web-based disclosure and the findings are useful for managers and investors. The study will help the managers to meet the actual and potential informational need of the investors; for the investor, it will help to make investment decisions and assessed the firm value in a better way.

Keywords

Disclosure, Internet, Web, Size, Corporate Governance

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