K
Keshab Shrestha
Researcher at Monash University Malaysia Campus
Publications - 65
Citations - 1477
Keshab Shrestha is an academic researcher from Monash University Malaysia Campus. The author has contributed to research in topics: Futures contract & Earnings management. The author has an hindex of 19, co-authored 58 publications receiving 1299 citations. Previous affiliations of Keshab Shrestha include University of York & York University.
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Futures hedge ratios: a review
TL;DR: In this paper, a review of different theoretical approaches to the optimal futures hedge ratios is presented, which are based on minimum variance, mean-variance, expected utility, mean extended-Gini coefficient, as well as semivariance.
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A new information share measure
Donald Lien,Keshab Shrestha +1 more
TL;DR: In this article, the modified information share (MIS) is proposed to measure price discovery instead of the upper and lower IS bounds, and the empirical application of the MIS to three major stock indices indicates that price discovery takes place mostly in the futures market.
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Analysis of the long‐term relationship between macro‐economic variables and the Chinese stock market using heteroscedastic cointegration
Ming-Hua Liu,Keshab Shrestha +1 more
TL;DR: In this paper, the authors investigated the relationship between the Chinese stock market indices and a set of macroeconomic variables, i.e. money supply, industrial production, inflation, exchange rate and interest rates.
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Monetary transmission via the administered interest rates channel
TL;DR: In this article, the authors examined the dynamics of administered interest rate changes in response to changes in the benchmark money market rate in Singapore and found that the administered rates' adjustment speed differs across both financial institutions and financial products.
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An empirical analysis of the relationship between hedge ratio and hedging horizon using wavelet analysis
Donald Lien,Keshab Shrestha +1 more
TL;DR: In this paper, the optimal hedge ratio for different hedging horizons for 23 different futures contracts using wavelet analysis is estimated for different hedge horizons, and the performance of the wavelet hedge ratio improves with the increase in the length of the hedging horizon.