The Effects of Financial Crisis on Hedging Efficiency of Indian Rubber Future Markets

Financial Statistical Journal

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Field Value
 
Title The Effects of Financial Crisis on Hedging Efficiency of Indian Rubber Future Markets
 
Creator Govindan Nair, Saji Thazhungal
 
Subject Futures; Hedge Ratio; Co-integration
 
Description This research, under Engle-Granger Co-integration framework, examines the hedging efficiency of Indian rubber future markets during the period 2004-2017. The essence of this study is to seek evidence for the effects of global financial crisis of 2008 on the efficiency of rubber futures in hedging  price risks of spot rubber in India. The study proved the hedging efficiency of rubber futures during both pre and post recession periods. However, increased price volatility of Indian rubber after recession heightened risk exposure to market participants that eventually lead to unexpected changes in the hedging efficiency of rubber futures.  The research concludes with a suggestion that writing of rubber futures in India allows traders to hedge risk exposures in spot market along with the potentials of arbitrage gains. 
 
Publisher EnPress Publisher LLC
 
Contributor
 
Date 2018-09-05
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier https://systems.enpress-publisher.com/index.php/FSJ/article/view/608
10.24294/fsj.v1i3.608
 
Source Financial Statistical Journal; Vol 1, No 3 (Published)
2578-1960
10.24294/fsj.v1i3
 
Language eng
 
Relation https://systems.enpress-publisher.com/index.php/FSJ/article/view/608/597
https://systems.enpress-publisher.com/index.php/FSJ/article/downloadSuppFile/608/530
 
Rights Copyright (c) 2018 Financial Statistical Journal
http://creativecommons.org/licenses/by-nc/4.0
 

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