Results 21 to 30 of about 41,672 (247)
Hedging effectiveness for international index futures markets
Economics and Business, 2018 This paper investigates the hedging effectiveness of the International Index Futures Markets using daily settlement prices for the period 4 January 2010 to 31 December 2015.
Koulis Alexandros +2 more
doaj +2 more sources
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
openaire +3 more sources
Changes in Effectiveness of Delta Hedging Using Options on the WIG20
Problemy Zarządzania, 2021 Purpose: Based on the research carried out by the author in 2007 and 2015, an increase in the effectiveness of delta hedging with the use of options on the WIG20 was found.
Ryszard Węgrzyn
doaj +1 more source
Commodities, 2023 This study aims at examining whether hedging emerging Eastern Europe stock markets with commodities sectors can help in reducing market risks and whether it has the same effectiveness among different sectors.
Amel Melki, Ahmed Ghorbel
doaj +1 more source
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
Time-Varying Structure of the Optimal Hedge Ratio for Emerging Markets
Scientific Annals of Economics and Business, 2022 Emerging markets are more exposed to risk than developed markets. Therefore, they require risk management using futures market instruments. This study aims to determine the hedging effectiveness of the spot index market risks in the stock index futures ...
Metin Tetik, Ercan Özen
doaj +1 more source
Hedging Strategies in Carbon Emission Price Dynamics: Implications for Shipping Markets
Energies, 2023 The European Union (EU) has agreed to gradually include shipping in the EU emissions trading scheme (EU ETS), which makes shipping companies vulnerable to carbon price fluctuations.
Theodoros Syriopoulos +2 more
doaj +1 more source
Longevity hedge effectiveness using socioeconomic indices
Insurance: Mathematics and Economics, 2022 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Malene Kallestrup-Lamb +1 more
openaire +5 more sources
Economic Research-Ekonomska Istraživanja, 2021 This study uses hourly data to analyse the return and volatility transmission of oil-gold and oil-Bitcoin pairs during the pre-COVID-19 and COVID-19 periods. The results show that the return transmissions vary across the two periods for both pairs. There
Imran Yousaf +3 more
semanticscholar +1 more source
Frontiers in Physics, 2023 This paper examines the impact of risk spillovers between Chinese stock and futures markets on stock hedging policies. This paper calculates the correlation between the overall risk spillover and the hedging ratio, effectiveness, and hedging cost based ...
Kai Shi, Junlian Gong
doaj +1 more source