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

Haron, Razali and Ayojimi, Salami Monsurat (2019) Malaysian stock index futures market hedging effectiveness: symmetric and asymmetric model. In: Islamic Fund & Wealth Management. A way forward. IIUM Institute of Islamic Banking and Finance, Kuala Lumpur, pp. 197-207. ISBN 978-983-44568-4-9

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Abstract

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 and TGARCH models. Daily closing 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 supports that hedging is dynamic and effective in the Malaysian derivative market.

Item Type:	Book Chapter
Additional Information:	4581/73088
Uncontrolled Keywords:	Stock market; Symmetric and Asymmetric Model
Subjects:	H Social Sciences > HG Finance H Social Sciences > HG Finance > HG4501 Stocks, investment, speculation
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:	01 Aug 2019 14:29
Last Modified:	28 Jan 2020 10:03
URI:	http://irep.iium.edu.my/id/eprint/73088

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