This paper investigates the hedging effectiveness of cross-listed Nifty Index futures and compares the performance of constant and dynamic optimal hedging strategies. We use daily data of Nifty index traded on the National Stock Exchange (NSE), India and cross-listed Nifty futures traded on the Singapore Stock Exchange (SGX) for a period of six years from July 15, 2010 to July 15, 2016. Various competing forms of Multivariate Generalised Autoregressive Conditional Heteroscedasticity (MGARCH) models, such as Constant Conditional Correlation (CCC) and Dynamic Conditional Correlation (DCC), have been employed to capture the time-varying volatility. The results clearly depict that dynamic hedge ratios outperform traditional constant hedge ratios with the DCC–GARCH model being the most efficient with maximum variance reduction from the unhedged portfolio.

中文翻译：

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交叉上市 NIFTY 指数期货的对冲效果

本文研究了交叉上市的 Nifty 指数期货的对冲有效性，并比较了恒定和动态最优对冲策略的表现。我们使用从 2010 年 7 月 15 日到 2016 年 7 月 15 日的六年期间在印度国家证券交易所 (NSE) 交易的 Nifty 指数和在新加坡证券交易所 (SGX) 交易的交叉上市 Nifty 期货的每日数据。多种竞争形式的多元广义自回归条件异方差 (MGARCH) 模型，例如恒定条件相关 (CCC) 和动态条件相关 (DCC)，已被用于捕捉随时间变化的波动性。