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Double-Edged Sword: Liquidity Implications of Futures Hedging

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  • Shi, Ruoding
  • Isengildina Massa, Olga

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  • Shi, Ruoding & Isengildina Massa, Olga, 2018. "Double-Edged Sword: Liquidity Implications of Futures Hedging," 2018 Annual Meeting, August 5-7, Washington, D.C. 274106, Agricultural and Applied Economics Association.
    • Handle: RePEc:ags:aaea18:274106
    DOI: 10.22004/ag.econ.274106
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    References listed on IDEAS

    as
    1. Mello, Antonio S & Parsons, John E, 2000. "Hedging and Liquidity," The Review of Financial Studies, Society for Financial Studies, vol. 13(1), pages 127-153.
    2. Carolyn W. Chang & Jack S. K. Chang, 2003. "Optimum futures hedge in the presence of clustered supply and demand shocks, stochastic basis, and firm's costs of hedging," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 23(12), pages 1209-1237, December.
    3. Antonio S. Mello & John E. Parsons, 1995. "Maturity Structure Of A Hedge Matters: Lessons From The Metallgesellschaft Debacle," Journal of Applied Corporate Finance, Morgan Stanley, vol. 8(1), pages 106-121, March.
    4. Alexander, Carol & Prokopczuk, Marcel & Sumawong, Anannit, 2013. "The (de)merits of minimum-variance hedging: Application to the crack spread," Energy Economics, Elsevier, vol. 36(C), pages 698-707.
    5. Lam, Kin & Yu, P.L.H. & Lee, P.H., 2010. "A margin scheme that advises on when to change required margin," European Journal of Operational Research, Elsevier, vol. 207(1), pages 524-530, November.
    6. Barry K. Goodwin & Ted C. Schroeder, 1994. "Human Capital, Producer Education Programs, and the Adoption of Forward-Pricing Methods," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 76(4), pages 936-947.
    7. Philip Garcia & Scott H. Irwin & Aaron Smith, 2015. "Futures Market Failure?," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 97(1), pages 40-64.
    8. Riley, John Michael & Anderson, John D., 2010. "Comparison of Hedging Cost with Other Variable Input Costs," Journal of the ASFMRA, American Society of Farm Managers and Rural Appraisers, vol. 2010, pages 1-9.
    9. John C. Driscoll & Aart C. Kraay, 1998. "Consistent Covariance Matrix Estimation With Spatially Dependent Panel Data," The Review of Economics and Statistics, MIT Press, vol. 80(4), pages 549-560, November.
    10. Joaquín Arias & B. Wade Brorsen & Ardian Harri, 2000. "Optimal hedging under nonlinear borrowing cost, progressive tax rates, and liquidity constraints," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 20(4), pages 375-396, April.
    11. Donald Lien, 2003. "The effect of liquidity constraints on futures hedging," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 23(6), pages 603-613, June.
    12. Akash Deep, 2002. "Optimal dynamic hedging using futures under a borrowing constraint," BIS Working Papers 109, Bank for International Settlements.
    13. Hardouvelis, Gikas A & Kim, Dongcheol, 1995. "Margin Requirements, Price Fluctuations, and Market Participation in Metal Futures," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 27(3), pages 659-671, August.
    14. Kin Lam & Chor‐Yiu Sin & Rico Leung, 2004. "A theoretical framework to evaluate different margin‐setting methodologies," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 24(2), pages 117-145, February.
    15. Daniel Hoechle, 2007. "Robust standard errors for panel regressions with cross-sectional dependence," Stata Journal, StataCorp LLC, vol. 7(3), pages 281-312, September.
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