Hedging foreign currency, freight, and commodity futures portfolios—A note

✍ Scribed by Michael S. Haigh; Matthew T. Holt

• Publisher: John Wiley and Sons
• Year: 2002
• Tongue: English
• Weight: 117 KB
• Volume: 22
• Category: Article
• ISSN: 0270-7314
• DOI: 10.1002/fut.10050

✦ Synopsis

Abstract

Foreign exchange hedging ratios are simultaneously estimated alongside freight and commodity ratios in a
time‐varying portfolio framework. Foreign exchange futures are by far the most important derivative
instrument used to reduce uncertainty for traders. Our results lend support to the decision by the London
International Financial Futures Exchange to cease trading the Baltic International Freight Futures Exchange
freight futures contract because of its low levels of trading activity that likely resulted from its apparent
unattractiveness as a hedging instrument. @ 2002 Wiley Periodicals, Inc. Jrl Fut Mark 22:1205–1221,
2002