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

With consistent repetition in the volatility of the market locally and globally, the portfolio managers are seriously concern about devaluation of their portfolio value. Hence, this study examines the hedging effectiveness of the Malaysian derivatives market using a dynamic modelling approach – GARC...

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Main Authors:	Haron, Razali, Ayojimi, Salami Monsurat
Format:	Conference or Workshop Item
Language:	English English
Published:	2017
Subjects:	HG4001 Financial management. Business finance. Corporation finance.
Online Access:	http://irep.iium.edu.my/59961/ http://irep.iium.edu.my/59961/ http://irep.iium.edu.my/59961/1/IIFWMF-24.pdf http://irep.iium.edu.my/59961/2/IIFWMF-24P.pdf

id	iium-59961
recordtype	eprints
spelling	iium-599612017-12-13T02:38:53Z http://irep.iium.edu.my/59961/ Malaysian stock index futures market hedging effectiveness: symmetric and asymmetric model Haron, Razali Ayojimi, Salami Monsurat HG4001 Financial management. Business finance. Corporation finance. With consistent repetition in the volatility of the market locally and globally, the portfolio managers are seriously concern about devaluation of their portfolio value. Hence, this study examines the hedging effectiveness of the Malaysian derivatives market using a dynamic modelling approach – GARCH and TGARCH models. Daily closed prices of KLCI, KLCI-F and basis are used for the period from June 1, 2009 to August 16, 2016. The study quantifies optimal hedge ratios prior to quantify effectiveness of the hedging mechanism in Malaysia. This study concludes that an asymmetric hedging model is more effective than a symmetric hedging model. This result support that hedging is dynamic and that Malaysian derivatives market is effective and the policy approach applied in preventing uneconomic participation in derivative market. 2017-05-02 Conference or Workshop Item PeerReviewed application/pdf en http://irep.iium.edu.my/59961/1/IIFWMF-24.pdf application/pdf en http://irep.iium.edu.my/59961/2/IIFWMF-24P.pdf Haron, Razali and Ayojimi, Salami Monsurat (2017) Malaysian stock index futures market hedging effectiveness: symmetric and asymmetric model. In: International Islamic Fund And Wealth Management Forum (IIFWMF), 2nd-3rd May 2017, Kuala Lumpur. http://www.iium.edu.my/iiibf/international-islamic-fund-wealth-management-forum-iifwmf
repository_type	Digital Repository
institution_category	Local University
institution	International Islamic University Malaysia
building	IIUM Repository
collection	Online Access
language	English English
topic	HG4001 Financial management. Business finance. Corporation finance.
spellingShingle	HG4001 Financial management. Business finance. Corporation finance. Haron, Razali Ayojimi, Salami Monsurat Malaysian stock index futures market hedging effectiveness: symmetric and asymmetric model
description	With consistent repetition in the volatility of the market locally and globally, the portfolio managers are seriously concern about devaluation of their portfolio value. Hence, this study examines the hedging effectiveness of the Malaysian derivatives market using a dynamic modelling approach – GARCH and TGARCH models. Daily closed prices of KLCI, KLCI-F and basis are used for the period from June 1, 2009 to August 16, 2016. The study quantifies optimal hedge ratios prior to quantify effectiveness of the hedging mechanism in Malaysia. This study concludes that an asymmetric hedging model is more effective than a symmetric hedging model. This result support that hedging is dynamic and that Malaysian derivatives market is effective and the policy approach applied in preventing uneconomic participation in derivative market.
format	Conference or Workshop Item
author	Haron, Razali Ayojimi, Salami Monsurat
author_facet	Haron, Razali Ayojimi, Salami Monsurat
author_sort	Haron, Razali
title	Malaysian stock index futures market hedging effectiveness: symmetric and asymmetric model
title_short	Malaysian stock index futures market hedging effectiveness: symmetric and asymmetric model
title_full	Malaysian stock index futures market hedging effectiveness: symmetric and asymmetric model
title_fullStr	Malaysian stock index futures market hedging effectiveness: symmetric and asymmetric model
title_full_unstemmed	Malaysian stock index futures market hedging effectiveness: symmetric and asymmetric model
title_sort	malaysian stock index futures market hedging effectiveness: symmetric and asymmetric model
publishDate	2017
url	http://irep.iium.edu.my/59961/ http://irep.iium.edu.my/59961/ http://irep.iium.edu.my/59961/1/IIFWMF-24.pdf http://irep.iium.edu.my/59961/2/IIFWMF-24P.pdf
first_indexed	2023-09-18T21:25:00Z
last_indexed	2023-09-18T21:25:00Z
_version_	1777412132237737984

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

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