Scholarlink

<p>Present study aims to examine and compare the hedging effectiveness of equity futures contracts being traded in highly liquid financial markets of the Asia-Pacific (APAC) region. The sample comprises benchmark equity indices from ten countries: Australia, China, Hong Kong, India, Japan, Malaysia, Singapore, South Korea, Taiwan, and Thailand. The sample period extends from April 16, 2010 to October 28, 2022. Optimal hedge ratios have been estimated using five static and three dynamic hedge ratio models. Findings suggest that equity futures markets of APAC region exhibit efficient hedging capabilities, ranging from 76% to 97%. Notably, Taiwan, India and Singapore demonstrate the highest hedging effectiveness (approximately 97%), while Malaysia exhibits the lowest (around 75%). Furthermore, the study also contributes to the existing literature supporting the superiority of static hedge ratio models over dynamic ones.</p>

错误：搜索内容不能为空，请输入英文关键词
错误：关键词超出字数限制，请精简
高级检索

Analysis of Hedging Performance across Asia-pacific Equity Futures: Static vs. Dynamic hedge ratio models

  • 期刊论文

  • 发表日期：

    2026年6月29日

查看全文
  • Mandeep Kaur,
  • Kapil Gupta,
  • Shikha Bhatia

摘要

Present study aims to examine and compare the hedging effectiveness of equity futures contracts being traded in highly liquid financial markets of the Asia-Pacific (APAC) region. The sample comprises benchmark equity indices from ten countries: Australia, China, Hong Kong, India, Japan, Malaysia, Singapore, South Korea, Taiwan, and Thailand. The sample period extends from April 16, 2010 to October 28, 2022. Optimal hedge ratios have been estimated using five static and three dynamic hedge ratio models. Findings suggest that equity futures markets of APAC region exhibit efficient hedging capabilities, ranging from 76% to 97%. Notably, Taiwan, India and Singapore demonstrate the highest hedging effectiveness (approximately 97%), while Malaysia exhibits the lowest (around 75%). Furthermore, the study also contributes to the existing literature supporting the superiority of static hedge ratio models over dynamic ones.