rdf-syntax-grammar
mods:
  schema location: http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
  title info:
    title: Volatility, asymmetric relationship, and hedging effectiveness
    sub title: a study on derivative markets in Malaysia
  name:
    name part: Salami, Monsurat Ayojimi
    role:
      role term: creator
    role:
      role term: author
  name:
    name part: International Islamic University Malaysia
    name part: Kulliyyah of Economics and Management Sciences
  genre: Theses, IIUM local
  origin info:
    place:
      place term: my
    date issued: 2018
  language:
    language term: eng
  physical description:
    extent: xviii, 321 leaves : illustrations ; 30cm.
  abstract: Return volatility severely affects equity portfolio or increases the cost in agricultural commodity as the major input for production. This triggers the need to re-examine the long-run relationship between underlying and futures markets and also the effectiveness of the offsetting position in futures markets. With theoretical and empirical evidence, understanding the return volatility, the long-run relationship between underlying and futures prices and the hedging effectiveness are the three main objectives of this study. It is hoped that this study will assist policymakers on how to intervene in markets with the right policies. This is because interconnection between underlying and futures prices as well as hedging the underlying position in the futures market are empirically emphasized. Addressing volatility problems with the wrong policy may affect the economy negatively. Also, it has been documented that the futures market plays an important role in managing price risk exposure, thus determining the optimality of hedge ratio is crucial to avoid hedging errors that might result in over hedging or under hedging. For the purpose of this study, 16 hypotheses have been developed based on related literature. Also, the influence of structural break and the effects of the GST announcement are examined. The findings of this study are explained based on the Efficiency Market Hypothesis (EMH), Arbitrage Pricing Theory (APT) and Law of One Price (LOP). The period of study ranges from June 2009 to November 2016. This study uses daily closing prices of the Crude Palm Oil (CPO), Kuala Lumpur Composite Index (KLCI), CPO Futures (CPO-F), KLCI Futures (KLCI-F) and Basis. It has been documented in previous studies that basis is an important variable with predictive power to forecast changes in underlying prices and useful in improving hedging ratio. To achieve the three objectives, this study employs Generalized Autoregressive Conditional Heteroscedasticity (GARCH), Threshold Gene…
  note: by Salami, Monsurat Ayojimi
  note: Thesis (Ph.D)--International Islamic University Malaysia, 2018.
  note: Includes bibliographical references (leaves 236-256).
  subject:
    geographic code: a-my---
  classification: HG6024.M4
  identifier: http://studentrepo.iium.edu.my/handle/123456789/3688
  record info:
    record content source: UIAM
    record creation date: 180601
    language of cataloging:
      language term: eng