scholarly journals Investigation on the effects of hedge horizon and estimation period on hedging effectiveness: An application on Turkish futures markets

Pressacademia ◽  
2021 ◽  
Vol 14 (1) ◽  
pp. 143-147
Author(s):  
Sevgi Eren
Keyword(s):  
Futures Markets ◽  
Hedging Effectiveness

scholarly journals Hedging Effectiveness of Commodity Futures Contracts to Minimize Price Risk: Empirical Evidence from the Italian Field Crop Sector

Risks ◽  
2021 ◽  
Vol 9 (12) ◽  
pp. 213
Author(s):  
Carlotta Penone ◽  
Elisa Giampietri ◽  
Samuele Trestini
Keyword(s):  
Financial Markets ◽  
Futures Markets ◽  
Futures Contracts ◽  
Price Risk ◽  
Field Crop ◽  
Exchange Market ◽  
Income Risk ◽  
The North ◽  
Hedging Effectiveness ◽  
American Counterpart

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 income risks at farm level. To better understand the advantages of such promising tools, this paper aims at analyzing the hedging effectiveness for soybean, corn and milling wheat producers in Italy. Following the literature, three different methodologies (i.e., naïve, OLS, GARCH) are applied for the estimation of the hedge portfolio, then compared to an unhedged portfolio for assessing the income risk reduction. Findings confirm the hedging effectiveness of futures contracts for all the considered commodities, showing also that this effect increases with longer hedge horizons, and also showing better performances for the European exchange market (i.e., Euronext), compared to the North American counterpart.

scholarly journals Hedging effectiveness for international index futures markets

2018 ◽  
Vol 32 (1) ◽  
pp. 149-159
Author(s):  
Alexandros Koulis ◽  
George Kaimakamis ◽  
Christina Beneki
Keyword(s):  
Futures Markets ◽  
Futures Contracts ◽  
Index Futures ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Hedging Effectiveness ◽  
Hedge Ratios ◽  
The Usa ◽  
Conventional Models ◽  
Market Indexes

Abstract 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. Standard OLS regressions, Error Correction Model (ECM), as well as Autoregressive Distributed Lag (ARDL) cointegration model are employed to estimate corresponding hedge ratios that can be employed in risk management. The analyzed sample consists of daily closing market rates of the stock market indexes of the USA and the European futures contracts. The findings indicate that the time varying hedge ratios, if estimated through the ARDL model, are more efficient than the fixed hedge ratios in terms of minimizing the risk. Additionally, there is evidence that the comparative advantage of advanced econometric approaches compared to conventional models is enhanced further for capital markets within peripheral EU countries

A Comparison of Hedge Effectiveness and Price Discovery between TAIFEX TAIEX Index Futures and SGX MSCI Taiwan Index Futures

2002 ◽  
Vol 05 (02) ◽  
pp. 277-300 ◽  
Author(s):  
Shen-Yuan Chen ◽  
Ching-Chung Lin ◽  
Pin-Huang Chou ◽  
Dar-Yeh Hwang
Keyword(s):  
Futures Markets ◽  
Price Discovery ◽  
Spot Market ◽  
Ratio Test ◽  
Variance Ratio ◽  
Index Futures ◽  
Hedging Effectiveness ◽  
Daily Data ◽  
Relationship Of ◽  
The Bayesian Approach

This article uses daily data from July 21, 1998 to July 31, 2000 to examine the hedging effectiveness, price behavior, and lead-lag relationship of SGX MSCI Taiwan index futures and TAIFEX TAIEX futures. By applying the Bayesian approach using Gibbs sampler, we find that TAIFEX index futures has a better hedging performance. A variance ratio test reveals that mean reversion and negative correlation of returns exist in SGX index futures. Only TAIFEX TAIEX futures is cointegrated with TAIEX spot. The uni-directional Granger causality between the two futures markets and spot market are from SGX to TAIEX and from TAIEX to TAIFEX. In terms of price discovery, SGX MSCI Taiwan index futures play a more important role than TAIFEX TAIEX futures.

Sign in / Sign up

Export Citation Format

Share Document