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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| Format: | Conference or Workshop Item |
| Language: | English English English |
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2016
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| 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 |