HOW EFFECTIVE IS FUTURES AS AN INSTRUMENT OF HEDGING AGAINST PRICE RISK? -A STUDY BASED ON SPOT AND FUTURE PRICES OF GOLD
2016 ◽
Vol 4
(9)
◽
pp. 143-150
Keyword(s):
This paper examines the role of commodity futures market as an instrument of hedging against price risk. Hedging is the practice of offsetting the price risk in a cash market by taking an opposite position in the futures market. By taking a position in the futures market, which is opposite to the position held in the spot market, the producer can offset the losses in the latter with the gains in the former. Both static and time varying hedge ratios have been calculated using VECM-MGARCH model. Variance of return from hedge portfolio has been found to be low. Further hedging effectiveness has been observed to be around 12%.
2013 ◽
Vol 2013
◽
pp. 1-8
◽
Keyword(s):
Keyword(s):
2015 ◽
Vol 3
(2)
◽
Keyword(s):
2013 ◽
Vol 380-384
◽
pp. 4529-4536
Keyword(s):
2020 ◽
Vol 12
(SP4)
◽
pp. 1738-1745
2003 ◽
Vol 11
(2)
◽
pp. 51-79
Keyword(s):
2019 ◽
Vol 15
(1)
◽
pp. 1-15
◽
Keyword(s):
2018 ◽
Vol 8
(3)
◽
pp. 332-352
◽
2018 ◽
Vol 172
◽
pp. 2773-2781
◽
Keyword(s):