The hedging effectiveness for bank futures and CNX nifty are evaluated in this study. The study is based on 9569 observations of the daily data for these index futures. For evaluation OLS, co-integrated OLS, GARCH (1, 1) and constant correlation GARCH (1, 1) hedging methods are estimated and...

Background: The financial futures market in India is relatively new. The major advantage of derivatives as financial products is that their use minimizes the risks associated with securities. However, hedging effectiveness requires understanding key market signals such as trading margins, credit...