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

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.

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Abstract

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.

Item Type:	Conference or Workshop Item (Invited Papers)
Additional Information:	4581/59961
Uncontrolled Keywords:	Optimal hedge ratio, Hedging effectiveness, GARCH, TGARCH, KLCI and KLCIF, Malaysian markets
Subjects:	H Social Sciences > HG Finance > HG4001 Financial management. Business finance. Corporation finance.
Kulliyyahs/Centres/Divisions/Institutes (Can select more than one option. Press CONTROL button):	Institute of Islamic Banking & Finance (IIiBF)
Depositing User:	Dr. Razali Haron
Date Deposited:	13 Dec 2017 10:38
Last Modified:	13 Dec 2017 10:38
URI:	http://irep.iium.edu.my/id/eprint/59961

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