Results 11 to 20 of about 41,672 (247)
Hedging Effectiveness Under Conditions of Asymmetry [PDF]
SSRN Electronic Journal, 2006 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. The metrics used include Lower Partial Moments (LPM), Value at Risk (VaR) and Conditional Value at Risk (CVAR).
Cotter, John, Hanly, Jim
core +13 more sources
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 +6 more sources
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 +2 more sources
Hedge Effectiveness Forecasting [PDF]
, 2008 This study focuses on hedging effectiveness defined as the proportionate price risk reduction created by hedging. By mathematical and simulation analysis we determine the following: (a) the regression R2 in the hedge ratio regression will generally overstate the amount of price risk reduction that can be achieved by hedging, (b) the properly computed ...
Dahlgran, Roger A., Ma, Xudong
core +4 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 +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
doaj +4 more sources
Hedging effectiveness of fertilizer swaps [PDF]
Applied Economics, 2019 The fertilizer swaps market is a potential tool to protect against fertilizer price risk. The swaps evaluated here are cash settled using The Fertilizer Index.
William E. Maples +2 more
openaire +2 more sources
Asymmetric correlation and hedging effectiveness of gold & cryptocurrencies: From pre-industrial to the 4th industrial revolution✰. [PDF]
Technol Forecast Soc Change, 2020 This paper examines the long-run and short-run asymmetric effects of gold and cryptocurrency returns on the Thai stock market. Employing daily data on gold prices from 2000 to 2019 and on cryptocurrency (Bitcoin) from 2013 to 2019 in a linear and non ...
Thampanya N, Nasir MA, Huynh TLD.
europepmc +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
Gadjah Mada International Journal of Business, 2017 This study evaluates the use of futures contracts for precious metals to hedge against stock market risks and their hedging effectiveness on the Indonesian Stock Exchange (IDX) and the Kuala Lumpur Stock Exchange (KLSE).
Robiyanto Robiyanto +2 more
doaj +2 more sources