Can the investments in securities devoid of futures be effectively hedged? If so, what is the best cross-hedging instrument? The study evaluates the efficacy of the cross-hedging strategy for small and medium investors interested in banking sector stocks devoid of futures using the market index, sectoral index and stock futures from the same sector. The risk mitigation ability of each portfolio is estimated for different trade horizons using near-month futures and spot prices. The optimal futures contract size for minimising risk exposure is calculated using the Diagonal BEKK GARCH model with a minimum-variance approach. The cross-hedging portfolio with BANK NIFTY futures performs consistently well in a longer trading horizon with higher hedging costs. A cross-hedging portfolio with single stock futures also shows an excellent risk reduction potential but is less expensive than other alternatives. Fundamental investors achieve risk reduction up to 53.74 per cent cross-hedging using BANK NIFTY futures. Investors can construct cross-hedging portfolios with a closely matching return profile and hold these positions for a longer trade horizon to achieve higher risk reduction.

没有期货的证券投资能否有效对冲？如果是这样，最好的交叉对冲工具是什么？该研究使用市场指数、行业指数和同一行业的股票期货，评估了对对没有期货的银行业股票感兴趣的中小型投资者的交叉对冲策略的有效性。每个投资组合的风险缓解能力是根据近月期货和现货价格针对不同交易期限估算的。用于最小化风险敞口的最佳期货合约规模是使用对角 BEKK GARCH 模型和最小方差方法计算的。BANK NIFTY 期货的交叉对冲投资组合在更长的交易期限内表现始终良好，对冲成本更高。具有单一股票期货的交叉对冲投资组合也显示出极好的降低风险的潜力，但比其他替代方案便宜。基本面投资者使用 BANK NIFTY 期货实现了高达 53.74% 的交叉对冲风险降低。投资者可以构建具有紧密匹配回报的交叉对冲投资组合，并持有这些头寸以实现更长的交易期限，以实现更高的风险降低。