HEDGING INEFFECTIVENESS AND FORWARD MARKET UNDERDEVELOPMENT IN THE ROMANIAN ELECTRICITY MARKET, 2019–2025 [PDF]
Financial StudiesThe Romanian electricity market exhibits substantial spot-price volatility yet operates with an underdeveloped centralised forward market. This paper provides an ex-post empirical assessment of unmet hedging demand and operational deterioration in the ...
Călin-Andrei PITEȘ
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Hedge Ratio and Hedging Effectiveness in Indian Currency Futures Markets
Finance: Theory and PracticeThe purpose of the study is to assess the efficacy of diverse hedge ratios computed using three econometric models: OLS, VECM, and BEKK-GARCH model. This investigation centres on minimizing variance for the USD/INR currency pair within the Indian currency market, specifically during two distinct periods: the pre-COVID era and the COVID-19 era.
N. Agrawal, P. Srinivasan
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An Empirical Analysis of Dynamic Multiscale Hedging using Wavelet Decomposition [PDF]
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 ...
Thomas Conlon, John Cotter
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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
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A Comparative Evaluation of Cash Flow and Batch Profit Hedging Effectiveness in Commodity Processing [PDF]
Agribusinesses make long-term plant-investment decisions based on discounted cash flow. It is therefore incongruous for an agribusiness firm to use cash flow as a plant-investment criterion and then to completely discard cash flow in favor of batch ...
Dahlgran, Roger A.
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Hedge ratio estimation and hedging effectiveness: the case of the S&P 500 stock index futures contract [PDF]
This paper investigates the hedging effectiveness of the Standard & Poor’s (S&P) 500 stock index futures contract using weekly settlement prices for the period July 3rd, 1992 to June 30th, 2002.
Dimitris Kenourgios +2 more
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Transaction Frequency and Hedging in Commodity Processing [PDF]
This study examines the effect of transaction frequency on profit and cash flow risk for firms that periodically purchase inputs, continuously transform inputs into outputs, and periodically sell output.
Dahlgran, Roger A.
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Hedging Effectiveness of Constant and Time Varying Hedge Ratio in Indian Stock and Commodity Futures Markets [PDF]
This paper examines hedging effectiveness of futures contract on a financial asset and commodities in Indian markets. In an emerging market context like India, the growth of capital and commodity futures market would depend on effectiveness of ...
Pandey, Ajay
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AgricultureThis paper addresses the lack of hedging effectiveness that yellow corn 1-month futures of the Chicago Mercantile Exchange (CME) offer for cross-hedging the price of Mexican white corn.
Oscar V. De la Torre-Torres +3 more
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THE DYNAMIC HEDGING EFFECTIVENESS FOR SOYBEAN FARMERS OF MATO GROSSO WITH FUTURES CONTRACTS OF BM&F [PDF]
Dynamic hedging effectiveness for soybean farmers in Rondonópolis (MT) with futures contracts of BM&F is calculated through optimal hedge determination, using the bivariate GARCH BEKK model, which considers the conditional correlations of the prices ...
Rocha, Waldemar Antonio da +1 more
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