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

QR Code

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...

Full description

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

Similar Items

Hedging effectiveness of Malaysian derivative markets under different asset classes
by: Salami, Monsurat Ayojimi, et al.
Published: (2019)

The effect of GST announcement on stock market volatility: evidence from intraday data
by: Haron, Razali, et al.
Published: (2019)

Crude palm oil market volatility: Malaysian evidence
by: Haron, Razali, et al.
Published: (2014)

Estimating Hedge Ratio and The Hedging Effectiveness of Stock Index Futures Contract
by: Islam, Mohd Aminul, et al.
Published: (2014)

Constant & time-varying hedge ratio for FBMKLCI stock index futures
by: Islam, Mohd Aminul
Published: (2016)

Long-term relationship of crude palm oil commodity pricing under structural break
by: Ayojimi, Salami Monsurat, et al.
Published: (2018)

Long-run relationship between Malaysian crude palm oil spot and futures market
by: Salami, Mansurat Ayojimi, et al.
Published: (2014)

Malaysian stock index futures market hedging effectiveness: symmetric and asymmetric model
by: Haron, Razali, et al.
Published: (2017)

Estimating volatility of stock index returns by using symmetric Garch models
by: Islam, Mohd Aminul
Published: (2013)

Hedging performance of futures contracts: The case of FTSE BMKLCI futures and the CPO futures contracts in Malaysia
by: Islam, Mohd Aminul, et al.
Published: (2018)

Price discovery between index futures and spot markets
by: Sifat, Imtiaz Mohamma, et al.
Published: (2019)

A qualitative inquiry into the investment decision behaviour of the Malaysian stock market investors
by: Jaiyeoba, Haruna Babatunde, et al.
Published: (2016)

Investors’ confidence in the Malaysian stock market and religiosity during investment decisions
by: Jaiyeoba, Haruna Babatunde, et al.
Published: (2019)

Estimating constant and time varying hedge ratios of Crude palm Oil futures (CPO) Contracts in Malaysia
by: Islam, Mohd Aminul
Published: (2016)

Modelling the conditional variance and asymmetric response to past shocks in the Malaysian bond market
by: Rahman, Maya Puspa, et al.
Published: (2015)

Correlation studies on equity markets using linear regression model - Malaysia, developing and developed markets
by: Haron, Razali, et al.
Published: (2006)

Dynamic linkages among ASEAN-5 emerging stock markets
by: Abd. Majid, M. Shabri, et al.
Published: (2009)

Correlation studies on equity markets using linear regression model - Malaysia developing and developed markets
by: Haron, Razali, et al.
Published: (2006)

Do conventional and Islamic stock markets subject to different market anomalies? Empirical evidences from Indonesia and Malaysia
by: Abd. Majid, M. Shabri, et al.
Published: (2016)

The 2007 global financial crisis and the Malaysian stock market: a sectoral analysis
by: Kassim, Salina, et al.
Published: (2011)

An investigation of shariah penny stocks’ performance and its determinants: Evidence from Bursa Malaysia
by: Che Ismail, Che Muhamad Hafiz, et al.
Published: (2017)

An investigation of Sharīʿah penny stocks’ performance and its determinants: evidence from Bursa Malaysia
by: Che Ismail, Che Muhamad Hafiz, et al.
Published: (2019)

Testing the validation of the financial cooperation agreement among ASEAN+3 stock markets
by: Rahman, Md. Saifur, et al.
Published: (2017)

Islamic versus conventional stock market indices performance: empirical evidence from Turkey
by: Bayram, Kamola, et al.
Published: (2019)

Correlation and benefits of portfolio diversification among equity markets of developed countries and emerging countries in South East Asia region
by: Haron, Razali, et al.
Published: (2006)

Effect of crude oil spot and futures price volatility on South East Asia Islamic equity market
by: Quadry, Mahmud Oluwaseyi, et al.
Published: (2016)

Modeling univariate volatility of stock returns using stochastic GARCH models:Evidence from 4-Asian markets
by: Islam, Mohd Aminul
Published: (2013)

Examination of the AAOIFI pronouncement on Sukuk Issuance and its implication on the Future Sukuk structure in the islamic capital market in Malaysia.
by: Mohammed Idris, Umar, et al.
Published: (2011)

A wavelet-based approach to testing shari’ah-compliant stock market contagion:evidence from the ASEAN countries
by: Saiti, Buerhan, et al.
Published: (2013)

Optimal hedge ratio and the hedging performance of commodity futures: the case of Malaysian crude palm oil futures market
by: Islam, Mohd Aminul
Published: (2017)

The pricing efficiency of equity warrants: a Malaysian case
by: Haron, Razali
Published: (2006)

Stock price movements : does change in energy price matter?
by: Abdul Jalil, Norasibah, et al.
Published: (2009)

Cointegration of Islamic stock indices: evidence from five ASEAN countries
by: Saiti, Buerhan
Published: (2015)

Residential property price hike and speculation
by: Haron, Razali, et al.
Published: (2019)

Diversification in conventional and Islamic stock indices: evidence from Multivariate-GARCH analysis
by: Saiti, Buerhan, et al.
Published: (2017)

Stock performance analysis between Malaysian Airlines System Berhad and Airasia Berhad
by: Ibrahim, Izleen, et al.
Published: (2011)

Correlation and portfolio diversification among South East Asia, emerging and developed countries
by: Haron, Razali, et al.
Published: (2008)

Analysis of crude palm oil futures prices traded on Bursa Malaysia
by: Ahmad, Norfaieqah, et al.
Published: (2011)

Short selling and exchange-traded funds returns: evidence from the London Stock Exchange
by: Mohamad, Azhar, et al.
Published: (2016)

Fundamentals, universe creation and appraisal of major shari’ah- compliant stocks screening methodologies
by: Saiti, Buerhan, et al.
Published: (2017)