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Volatility spillover among the sectors of emerging and developed markets: a hedging perspective

Cogent Economics & Finance
This study empirically investigates the volatility spillover among the sectors of emerging markets, that is, India and China and developed markets, that is, the United Kingdom (UK) and the United States (US). Focusing on financial services, auto, oil and
Satyaban Sahoo, Sanjay Kumar
doaj   +1 more source

A Comparative Evaluation of Cash Flow and Batch Profit Hedging Effectiveness in Commodity Processing [PDF]

Agribusinesses make long-term plant-investment decisions based on discounted cash flow. It is therefore incongruous for an agribusiness firm to use cash flow as a plant-investment criterion and then to completely discard cash flow in favor of batch ...
Dahlgran, Roger A.
core  

Hedging Effectiveness under Conditions of Asymmetry [PDF]

, 2005
We examine whether hedging effectiveness is affected by asymmetry in the return distribution by applying tail specific metrics to compare the hedging effectiveness of short and long hedgers using crude oil futures contracts.
Cotter, John, Hanly, Jim
core   +1 more source

MINIMUM VARIANCE HEDGING AND THE ENCOMPASSING PRINCIPLE: ASSESSING THE EFFECTIVENESS OF FUTURES HEDGES [PDF]

An empirical methodology is developed for statistically testing the hedging effectiveness among competing futures contracts. The presented methodology is based on the encompassing principle, widely used in the forecasting literature, and applied here to ...
Sanders, Dwight R., Manfredo, Mark R.
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Multifractal Detrended Cross-Correlations between Green Bonds and Commodity Markets: An Exploration of the Complex Connections between Green Finance and Commodities from the Econophysics Perspective

Fractal and Fractional
Green bonds represent a compelling financial innovation that presents a financial perspective solution to address climate change and promote sustainable development.
Turker Acikgoz, Soner Gokten, Abdullah Bugra Soylu   +2 more
doaj   +1 more source

Cross Hedging and Liquidity: a note [PDF]

Cross hedging is a way to improve statistical hedge results because of markets'incompletion. In this framework, several markets instead of just one market, are used to increase the hedger’s financial possibilities.
Sévi, B.
core  

EVALUATING THE HEDGING POTENTIAL OF THE LEAN HOG FUTURES CONTRACT [PDF]

The lean hog futures contract is replacing the live hog futures contract at the Chicago Mercantile Exchange beginning with the February 1997 contract.
Ditsch, Mark W., Leuthold, Raymond M.
core  

Market volatility and skewness risks in China

International Review of Economics & Finance
We examine the pricing of the risk-neutral market volatility and skewness risks in the cross-section of stocks in China. We find that stocks with high exposures to innovations in volatility or skewness exhibit low expected returns.
Fang Zhen
doaj   +1 more source

Structurally Sound Dynamic Index Futures Hedging [PDF]

Portfolio managers use index futures for a variety of reasons. Regardless of their motivation, they will keep a close eye on the relation between the futures and their stock portfolio returns.
Patrick McGlenchy, Paul Kofman
core  

HEDGING WITH FUTURES AND OPTIONS: A DEMAND SYSTEMS APPROACH [PDF]

The optimal hedging portfolio is shown to include both futures and options under a variety of circumstances when the marginal cost of hedging is non-zero. Futures and options are treated as substitute goods, and properties of the resulting hedging demand
Frechette, Darren L.
core