ESTIMATING HEDGING EFFECTIVENESS USING VARIANCE REDUCTION AND RISK-RETURN APPROACHES: EVIDENCE FROM NATIONAL STOCK EXCHANGE OF INDIA
The present study examines hedging effectiveness of futures contracts in India by using variance reduction approach and risk-return approach by applying eight econometric models. It is observed that OLS hedge ratio generates highest hedging effectiveness using variance reduction approach, whereas Na...
| Published in: | Copernican Journal of Finance & Accounting |
|---|---|
| Main Authors: | , |
| Format: | Article |
| Language: | English |
| Published: |
Nicolaus Copernicus University in Toruń
2020-06-01
|
| Subjects: | |
| Online Access: | https://apcz.umk.pl/CJFA/article/view/30369 |