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Hedging Pressure Effects in Futures Markets [PDF]
The Journal of Finance, 2000 We present a simple model implying that futures risk premia depend on both own‐market and cross‐market hedging pressures. Empirical evidence from 20 futures markets, divided into four groups (financial, agricultural, mineral, and currency) indicates that, after controlling for systematic risk, both the futures own hedging pressure and cross‐hedging ...
de Roon, F.A., Nijman, T.E., Veld, C.H.
openaire +3 more sources
Hedging with futures contracts in the Brazilian soybean complex: BM&F vs. CBOT
Revista de Economia e Sociologia Rural, 2003 This article analyzes the effectiveness of hedging Brazilian soy oil, soy meal, and soybeans in the Chicago Board of Trade (CBOT) and in the Brazilian Commodities and Futures Exchange (BM&F) to reduce the risk of financial loss due to commodity price ...
Silva Andréia Regina O. da +2 more
doaj +3 more sources
Contribution of Exchange Traded Funds in Hedging Crude Oil Price Risk
American Business Review, 2023 In this study, we empirically analyze the contributions of three crude oil-based exchange traded funds (ETFs) and the futures contract in hedging crude oil price risk.
Keshab Shrestha +2 more
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Hedging Ratio Measurement Methods and Hedging Effectiveness in Jakarta Futures Exchanges
Jurnal Ekonomi Pembangunan: Kajian Masalah Ekonomi dan Pembangunan, 2017 Estimation method of hedge ratio is a crucial step in hedging strategies in the commodity futures market. This study examines the effectiveness of hedging strategy against cash position in Indonesia’s cocoa beans and Robusta coffee spot market using three hedge ratio estimation methods: OLS, Vector Error Correction Model, and Threshold-ARCH.
Buddi Wibowo
openalex +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 ...
Woodard, Joshua D., Garcia, Philip
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Are Options Trading Strategies Really Effective for Hedging in the Indian Derivatives Market?
Cogent Economics & Finance, 2022 Hedging being a predominant financial concern, is considered as a robust method of managing investment risks. Literature evinces that the covered call strategy provides nominal returns alongside effective hedging.
Shivaprasad S P +4 more
doaj +1 more source
Jurnal Manajemen & Agribisnis, 2017 Hedging strategies in the commodity futures market is strongly influenced by the estimation method of hedge ratio. This study examines the effectiveness of hedging strategy against cash position in Indonesia’s palm oil spot market using three hedge ratio
Buddi Wibowo
doaj +1 more source
Comparing Hedging Effectiveness: An Application of the Encompassing Principle
Journal of Agricultural and Resource Economics, 2004 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 ...
Dwight R. Sanders, Mark R. Manfredo
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An Empirical Analysis of Dynamic Multiscale Hedging using Wavelet Decomposition [PDF]
, 2011 This paper investigates the hedging effectiveness of a dynamic moving window OLS hedging model, formed using wavelet decomposed time-series. The wavelet transform is applied to calculate the appropriate dynamic minimum-variance hedge ratio for various ...
Benet +29 more
core +3 more sources
Financial Innovation, 2021 This study examines the hedging effectiveness of financial innovations against crude oil investment risks, both before and during the COVID-19 pandemic.
Afees A. Salisu, Kingsley Obiora
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