CERES > School of Management (SoM) > Staff publications - School of Management >

Please use this identifier to cite or link to this item: http://dspace.lib.cranfield.ac.uk/handle/1826/3926

Document Type: Audio file
Title: Stock index futures hedging in the emerging Malaysian market
Authors: Pok, Wee Ching
Poshakwale, Sunil S.
Ford, J. L.
Issue Date: 2009
Abstract: The paper investigates hedging effectiveness of dynamic and constant models in the emerging market of Malaysia where trading information is not readily available and market liquidity is lower compared to the developed equity markets. Using daily data from December 1995 to April 2001 and bivariate GARCH(1,1) and TGARCH models, the paper uses differing variance–covariance structures to obtain hedging ratios. Performance of models is compared in terms of variance reduction and expected utility levels for the full sample period as well as the three sub-periods which encompass the Asian financial crisis and introduction of new capital control measures in Malaysia. Findings show that rankings of the hedging models change for the in-sample period depending on evaluation criteria used. TGARCH based models provide better hedging performance but only in the period of higher information asymmetry following the imposition of capital controls in Malaysia. Overall, despite the structural breaks caused by the Asian financial crisis and new capital control regulations, out of sample hedging performance of dynamic GARCH models in the Malaysian emerging market is as good as the one reported for the highly developed markets in the previous literature. The findings suggest that changes in the composition of market agents caused by large scale retreat of foreign investors following the imposition of capital control regulations do not seem to have any material impact on the volatility characteristics of the Malaysian emerging market.
URI: http://hdl.handle.net/1826/3926
Appears in Collections:Staff publications - School of Management

Files in This Item:

File Description SizeFormat
Stock Index - Malaysia.pdfMain article1.85 MBAdobe PDFView/Open
Transcript.pdfInterview transcript85.92 kBAdobe PDFView/Open
Podcast.mp3Audio interview2.33 MBUnknownView/Open

SFX Query

Items in CERES are protected by copyright, with all rights reserved, unless otherwise indicated.