Asset storability and hedging effectiveness in commodity futures markets
AbstractThis paper examines risk minimization hedging effectiveness for major storable and nonstorable agricultural commodity futures markets. Based on the error correction model - bivariate GARCH frameworks, some evidence is found that the hedging effectiveness is stronger for storable commodities than nonstorable commodities under consideration. The finding illustrates an important difference between storable and nonstorable commodities with regard to their hedging function.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics Letters.
Volume (Year): 10 (2003)
Issue (Month): 8 ()
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Web page: http://www.tandfonline.com/RAEL20
Other versions of this item:
- Yang, Jian & Awokuse, Titus O., 2002. "Asset Storability And Hedging Effectiveness In Commodity Futures Markets," Staff Papers 15826, University of Delaware, Department of Food and Resource Economics.
- D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
- G19 - Financial Economics - - General Financial Markets - - - Other
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