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Optimal hedge ratios and hedging effectiveness: An analysis of the Turkish futures market
Borsa Istanbul Review, 2022 The main purpose of this comprehensive study is to determine the optimal hedge ratios and hedging effectiveness of different futures contracts traded on the Borsa Istanbul (BIST), namely the BIST 30 equity index, US dollar–Turkish lira currency futures ...
Goknur Buyukkara +2 more
doaj +3 more sources
Basis risk and weather hedging effectiveness [PDF]
Agricultural Finance Review, 2008 Basis risk – the risk that payoffs of a hedging instrument do not correspond to the underlying exposures – is cited as a primary concern for implementing weather data, we investigate several dimensions of weather basis risk in the U.S. corn market. Results suggest that while geographic basis risk can be significant, it should not preclude the use of ...
Philip Garcia
exaly +3 more sources
Risks, 2021 Over the last years, farmers have been increasingly exposed to income risk due to the volatility of the commodities prices. Among others, hedging in futures markets (i.e., financial markets) represents an available strategy for producers to cope with ...
Carlotta Penone +2 more
doaj +3 more sources
IIMB Management Review, 2014 The paper investigates the first and second orders moment transmission between gold and Indian industrial sectors with an application of portfolio design and hedging effectiveness using generalised VAR-ADCC-BVGARCH model.
Dilip Kumar
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The hedging effectiveness of DAX futures [PDF]
European Journal of Finance, 1998 Dynamic futures hedging strategies have been shown to be effective in a number of markets, but the gain in risk reduction over simple, constant hedges varies. This paper examines the hedging effectiveness of German stock index DAX futures and shows that the application of a dynamic hedging strategy based on a GARCH(1,1) covariance structure, combined ...
G. Lypny, M. Powalla
exaly +2 more sources
The Assessment of Hedge Effectiveness [PDF]
Annals of Dunarea de Jos University. Fascicle I : Economics and Applied Informatics, 2012 Earnings volatility can be a significant source of concern for a company, putting pressure on its capital base and share price. Prudent management of the company’s exposure to different risks typically involves hedging solutions. Hedging is important for
Cristina BUNEA-BONTAS
doaj +1 more source
Cogent Economics & Finance, 2017 Although a large number of empirical papers have examined the price spillover in global oil and non-energy commodity markets, very little is known about the volatility transmission between these two markets.
Anupam Dutta, Md Hasib Noor
doaj +2 more sources
Copernican Journal of Finance & Accounting, 2020 The present study examines hedging effectiveness of futures contracts in India by using variance reduction approach and risk-return approach by applying eight econometric models. It is observed that OLS hedge ratio generates highest hedging effectiveness
Mandeep Kaur, Kapil Gupta
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Effective Basemetal Hedging: The Optimal Hedge Ratio and Hedging Horizon [PDF]
Journal of Risk and Financial Management, 2008 This study investigates optimal hedge ratios in all base metal markets. Using recent hedging computation techniques, we find that 1) the short-run optimal hedging ratio is increasing in hedging horizon, 2) that the long-term horizon limit to the optimal hedging ratio is not converging to one but is slightly higher for most of these markets, and 3) that
Dewally, Michael, Marriott, Luke
openaire +2 more sources
Longevity hedge effectiveness: a decomposition [PDF]
Quantitative Finance, 2011 We use a case study of a pension plan wishing to hedge the longevity risk in its pension liabilities at a future date. The plan has the choice of using either a customised hedge or an index hedge, with the degree of hedge effectiveness being closely related to the correlation between the value of the hedge and the value of the pension liability.
Cairns, Andrew +3 more
openaire +3 more sources