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 InfoPaper provided by University of Delaware, Department of Food and Resource Economics in its series Staff Papers with number 15826.
Date of creation: 2002
Date of revision:
commodity futures; asset storability; hedging effectiveness; multivariate GARCH; Marketing; D82; G19;
Other versions of this item:
- Jian Yang & Titus Awokuse, 2003. "Asset storability and hedging effectiveness in commodity futures markets," Applied Economics Letters, Taylor and Francis Journals, vol. 10(8), pages 487-491.
- D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
- G19 - Financial Economics - - General Financial Markets - - - Other
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- Zanotti, Giovanna & Gabbi, Giampaolo & Geranio, Manuela, 2010. "Hedging with futures: Efficacy of GARCH correlation models to European electricity markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(2), pages 135-148, April.
- Choudhry, Taufiq, 2009. "Short-run deviations and time-varying hedge ratios: Evidence from agricultural futures markets," International Review of Financial Analysis, Elsevier, vol. 18(1-2), pages 58-65, March.
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