ntil very recently, commodity futures markets were largely ignored by the U vast majority of economists. At the same time, markets for foreign currencies were studied by only a relative handful of specialists in international trade and finance. This article describes an area which overlaps the two v
Risk-return measures of hedging effectiveness: The case of multiple cash and futures markets
โ Scribed by Da-Hsiang Donald Lien
- Book ID
- 112143206
- Publisher
- John Wiley and Sons
- Year
- 1993
- Tongue
- English
- Weight
- 324 KB
- Volume
- 14
- Category
- Article
- ISSN
- 0143-6570
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
## Abstract This study investigates the efficiency of the New York Mercantile Exchange (NYMEX) Division light sweet crude oil futures contract market during recent periods of extreme conditional volatility. Crude oil futures contract prices are found to be cointegrated with spot prices and unbiased
ost empirical work and empirically oriented illustrations dealing with M the hedging effectiveness of futures contracts utilize either one of two approaches, namely: Risk minimization or payoff maximization. In the first approach, hedging is perceived as a combination of a futures position with an e
Support from the DePaul College of Commerce summer research grants program is gratefully 'Data are obtained from the IMM Yearbook, the CRB Commodity Yearbmk, and The Wall Street 'For a discussion of the various theoretical drawbacks of the mean-variance (risk-minimizing) acknowledged.
More specifically, futures prices may influence storage and inventory decisions and may exact an important influence on production decisions. This is their price discovery function. Futures markets are seen as an efficient collector, processor, and disseminator of information. 'The large number of
e development of futures markets in financial instruments has provided fi-T. nancial intermediaries, among others, with a vehicle for hedging against unanticipated changes in interest rates.' Protection against these fluctuations can benefit lending institutions which have exposed themselves to inte