Results 21 to 30 of about 1,628 (255)
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
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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
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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
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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
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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.
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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
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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
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Borsa Istanbul Review, 2022 Our goal in this paper is to examine the time-varying optimal hedging ratios for the Dow Jones Islamic and conventional emerging stock market indices, hedged with oil, gold, and the VSTOXX as well as four emerging-country sectoral CDS indices (raw ...
Nejib Hachicha +4 more
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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
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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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