Constant & time-varying hedge ratio for FBMKLCI stock index futures

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Constant & time-varying hedge ratio for FBMKLCI stock index futures

This paper examines hedging strategy in stock index futures for Kuala Lumpur Composite Index futures of Malaysia. We employed two different econometric methods such as-vector error correction model (VECM) and bivariate generalized autoregressive conditional heteroskedasticity (BGARCH) models to est...

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Bibliographic Details
Main Author:	Islam, Mohd Aminul
Format:	Proceeding Paper
Language:	English English English
Published:	2016
Subjects:	HG Finance HG4501 Stocks, investment, speculation
Online Access:	http://irep.iium.edu.my/54322/ http://irep.iium.edu.my/54322/1/QP_37_2016.pdf http://irep.iium.edu.my/54322/2/QP37_2016_Certificate.pdf http://irep.iium.edu.my/54322/3/QP_37_Programme%20%26%20Abstract%20Book.pdf

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