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The Hedging Performance of the New Futures Markets

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Cited by:

  1. Sergio H. Lence & Dermot J. Hayes, 1995. "Optimal Hedging Under Forward‐Looking Behaviour," The Economic Record, The Economic Society of Australia, vol. 71(4), pages 329-342, December.
  2. Hou, Yang & Li, Steven, 2013. "Hedging performance of Chinese stock index futures: An empirical analysis using wavelet analysis and flexible bivariate GARCH approaches," Pacific-Basin Finance Journal, Elsevier, vol. 24(C), pages 109-131.
  3. Liu, Pan & Vedenov, Dmitry & Power, Gabriel J., 2017. "Is hedging the crack spread no longer all it's cracked up to be?," Energy Economics, Elsevier, vol. 63(C), pages 31-40.
  4. A. D. Clare & M. C. Oozeer, 2001. "Hedging sterling eurobond portfolios: a proposal for eurobond futures contract," Applied Financial Economics, Taylor & Francis Journals, vol. 11(1), pages 37-44.
  5. Libo Yin & Liyan Han, 2013. "Options strategies for international portfolios with overall risk management via multi-stage stochastic programming," Annals of Operations Research, Springer, vol. 206(1), pages 557-576, July.
  6. Lien, Donald, 2004. "Cointegration and the optimal hedge ratio: the general case," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(5), pages 654-658, December.
  7. Goss, Barry A., 1980. "Aspects Of Hedging Theory," Australian Journal of Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 24(3), pages 1-14, December.
  8. Suleyman Basak & Georgy Chabakauri, 2012. "Dynamic Hedging in Incomplete Markets: A Simple Solution," Review of Financial Studies, Society for Financial Studies, vol. 25(6), pages 1845-1896.
  9. John Cotter & Jim Hanly, 2006. "Reevaluating hedging performance," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 26(7), pages 677-702, July.
  10. Chang, Chia-Lin & McAleer, Michael & Tansuchat, Roengchai, 2011. "Crude oil hedging strategies using dynamic multivariate GARCH," Energy Economics, Elsevier, vol. 33(5), pages 912-923, September.
  11. repec:dau:papers:123456789/6808 is not listed on IDEAS
  12. Sergio H. Lence & Dermot J. Hayes, 1994. "The Empirical Minimum-Variance Hedge," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 76(1), pages 94-104.
  13. Martínez, Beatriz & Torró, Hipòlit, 2018. "Hedging spark spread risk with futures," Energy Policy, Elsevier, vol. 113(C), pages 731-746.
  14. Kuersten, Wolfgang & Linde, Rainer, 2011. "Corporate hedging versus risk-shifting in financially constrained firms: The time-horizon matters!," Journal of Corporate Finance, Elsevier, vol. 17(3), pages 502-525, June.
  15. Zhou, Yuqin & Wu, Shan & Zhang, Zeyi, 2022. "Multidimensional risk spillovers among carbon, energy and nonferrous metals markets: Evidence from the quantile VAR network," Energy Economics, Elsevier, vol. 114(C).
  16. Dark Jonathan Graeme, 2010. "Estimation of Time Varying Skewness and Kurtosis with an Application to Value at Risk," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(2), pages 1-50, March.
  17. Lin, Xiaoqiang & Chen, Qiang & Tang, Zhenpeng, 2014. "Dynamic hedging strategy in incomplete market: Evidence from Shanghai fuel oil futures market," Economic Modelling, Elsevier, vol. 40(C), pages 81-90.
  18. Syriopoulos, Theodore & Makram, Beljid & Boubaker, Adel, 2015. "Stock market volatility spillovers and portfolio hedging: BRICS and the financial crisis," International Review of Financial Analysis, Elsevier, vol. 39(C), pages 7-18.
  19. Sanders, Dwight R. & Manfredo, Mark R. & Greer, Tracy D., 2003. "Hedging Spot Corn: An Examination Of The Minneapolis Grain Exchange'S Cash Settled Corn Contract," Journal of Agribusiness, Agricultural Economics Association of Georgia, vol. 21(1), pages 1-17.
  20. In, Francis & Kim, Sangbae, 2006. "Multiscale hedge ratio between the Australian stock and futures markets: Evidence from wavelet analysis," Journal of Multinational Financial Management, Elsevier, vol. 16(4), pages 411-423, October.
  21. Gianluca Stefani & Marco Tiberti, 2013. "Textbook Estimators of Multiperiod Optimal Hedging Ratios: Methodological Aspects and Application to the European Wheat Market," Working Papers - Economics wp2013_29.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  22. Barbi, Massimiliano & Romagnoli, Silvia, 2018. "Skewness, basis risk, and optimal futures demand," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 14-29.
  23. Zhou, Jian, 2016. "Hedging performance of REIT index futures: A comparison of alternative hedge ratio estimation methods," Economic Modelling, Elsevier, vol. 52(PB), pages 690-698.
  24. Dungey, Mardi & Henry, Olan T & Hvodzdyk, Lyudmyla, 2013. "The impact of jumps and thin trading on realized hedge ratios," Working Papers 2013-02, University of Tasmania, Tasmanian School of Business and Economics, revised 28 Mar 2013.
  25. Xu, Lei & Kinkyo, Takuji, 2023. "Hedging effectiveness of bitcoin and gold: Evidence from G7 stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).
  26. Peter G. Dunne, 2019. "Positive Liquidity Spillovers from Sovereign Bond-Backed Securities," JRFM, MDPI, vol. 12(2), pages 1-25, April.
  27. Stavros Degiannakis & Christos Floros, 2010. "Hedge Ratios in South African Stock Index Futures," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 9(3), pages 285-304, December.
  28. Haarstad, Aleksander H. & Lavrutich, Maria & Strypet, Kristian & Strøm, Eivind, 2022. "Multi-commodity price risk hedging in the Atlantic salmon farming industry," Journal of Commodity Markets, Elsevier, vol. 25(C).
  29. Lien, Donald, 2009. "A note on the hedging effectiveness of GARCH models," International Review of Economics & Finance, Elsevier, vol. 18(1), pages 110-112, January.
  30. Marco Zuppiroli & Cesar Revoredo-Giha, 2016. "Hedging effectiveness of European wheat futures markets: an application of multivariate GARCH models," International Journal of Applied Management Science, Inderscience Enterprises Ltd, vol. 8(2), pages 132-148.
  31. G. D. Koppenhaver, 1984. "Selective Hedging Of Bank Assets With Treasury Bill Futures Contracts," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 7(2), pages 105-119, June.
  32. Guo, Zhibo & White, Ben & Mugera, Amin, 2013. "Hedge Effectiveness for Western Australia Crops," 2013 Conference (57th), February 5-8, 2013, Sydney, Australia 152154, Australian Agricultural and Resource Economics Society.
  33. Gaurav Gairola & Kushankur Dey, 2023. "Price discovery and risk management in asset class: a bibliometric analysis and research agenda," Applied Economics Letters, Taylor & Francis Journals, vol. 30(17), pages 2320-2331, October.
  34. Bai, Lan & Wei, Yu & Zhang, Jiahao & Wang, Yizhi & Lucey, Brian M., 2023. "Diversification effects of China's carbon neutral bond on renewable energy stock markets: A minimum connectedness portfolio approach," Energy Economics, Elsevier, vol. 123(C).
  35. Michael S. Haigh & Matthew T. Holt, 2002. "Combining time-varying and dynamic multi-period optimal hedging models," European Review of Agricultural Economics, Foundation for the European Review of Agricultural Economics, vol. 29(4), pages 471-500, December.
  36. Cotter, John & Hanly, Jim, 2012. "A utility based approach to energy hedging," Energy Economics, Elsevier, vol. 34(3), pages 817-827.
  37. Paul Cicchetti & Charles Dale & Anthony J. Vignola, 1981. "Usefulness of treasury bill futures as hedging instruments," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 1(3), pages 379-387, September.
  38. Charles T. Howard & Louis J. D'Antonio, 1986. "Treasury Bill Futures As A Hedging Tool: A Risk-Return Approach," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 9(1), pages 25-39, March.
  39. Pennings, Joost M. E., 2002. "Pulling the trigger or not: Factors affecting behavior of initiating a position in derivatives markets," Journal of Economic Psychology, Elsevier, vol. 23(2), pages 263-278, April.
  40. Yang (Greg) Hou & Mark Holmes, 2020. "Do higher order moments of return distribution provide better decisions in minimum-variance hedging? Evidence from US stock index futures," Australian Journal of Management, Australian School of Business, vol. 45(2), pages 240-265, May.
  41. Alizadeh, Amir H. & Huang, Chih-Yueh & van Dellen, Stefan, 2015. "A regime switching approach for hedging tanker shipping freight rates," Energy Economics, Elsevier, vol. 49(C), pages 44-59.
  42. Martínez, Beatriz & Torró, Hipòlit, 2015. "European natural gas seasonal effects on futures hedging," Energy Economics, Elsevier, vol. 50(C), pages 154-168.
  43. Olson, Eric & Vivian, Andrew & Wohar, Mark E., 2019. "What is a better cross-hedge for energy: Equities or other commodities?," Global Finance Journal, Elsevier, vol. 42(C).
  44. Bajo, Emanuele & Barbi, Massimiliano & Romagnoli, Silvia, 2014. "Optimal corporate hedging using options with basis and production risk," The North American Journal of Economics and Finance, Elsevier, vol. 30(C), pages 56-71.
  45. Denis-Alexandre Trottier & Frédéric Godin & Emmanuel Hamel, 2018. "On Fund Mapping Regressions Applied to Segregated Funds Hedging Under Regime-Switching Dynamics," Risks, MDPI, vol. 6(3), pages 1-15, August.
  46. Tiwari, Aviral Kumar & Aikins Abakah, Emmanuel Joel & Gabauer, David & Dwumfour, Richard Adjei, 2022. "Dynamic spillover effects among green bond, renewable energy stocks and carbon markets during COVID-19 pandemic: Implications for hedging and investments strategies," Global Finance Journal, Elsevier, vol. 51(C).
  47. Mara Madaleno & Carlos Pinho, 2010. "Hedging Performance and Multiscale Relationships in the German Electricity Spot and Futures Markets," JRFM, MDPI, vol. 3(1), pages 1-37, December.
  48. Shashi Gupta & Himanshu Choudhary & D.R. Agarwal, 2017. "Hedging Efficiency of Indian Commodity Futures," Paradigm, , vol. 21(1), pages 1-20, June.
  49. Wei-Han Liu, 2014. "Optimal hedge ratio estimation and hedge effectiveness with multivariate skew distributions," Applied Economics, Taylor & Francis Journals, vol. 46(12), pages 1420-1435, April.
  50. Leuthold, Raymond M. & Kim, MinKyoung, 2000. "Managing Overnight Corn Price Risks: E*Hedging Versus Tokyo," Journal of Agribusiness, Agricultural Economics Association of Georgia, vol. 18(3), pages 1-14.
  51. Michaël Dewally & Luke Marriott, 2008. "Effective Basemetal Hedging: The Optimal Hedge Ratio and Hedging Horizon," JRFM, MDPI, vol. 1(1), pages 1-36, December.
  52. Barry A. Goss & S. Gulay Avsar, 2016. "Can Economists Forecast Exchange Rates? The Debate Re-Visited: The Case of the USD/GBP Market," Australian Economic Papers, Wiley Blackwell, vol. 55(1), pages 14-28, March.
  53. Mark G. Castelino, 1989. "Basis Volatility: Implications For Hedging," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 12(2), pages 157-172, June.
  54. Francesco S. Braga & Larry J. Martin & Karl D. Meilke, 1989. "Cross hedging the Italian Lira/US dollar exchange rate with deutsch mark futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 9(2), pages 87-99, April.
  55. Broll, Udo & Wong, Kit Pong, 2002. "Optimal full-hedging under state-dependent preferences," The Quarterly Review of Economics and Finance, Elsevier, vol. 42(5), pages 937-943.
  56. Turner, Peter A. & Lim, Siew Hoon, 2015. "Hedging jet fuel price risk: The case of U.S. passenger airlines," Journal of Air Transport Management, Elsevier, vol. 44, pages 54-64.
  57. Sila Alan, Nazli & Karagozoglu, Ahmet K. & Korkmaz, Sibel, 2016. "Growing pains: The evolution of new stock index futures in emerging markets," Research in International Business and Finance, Elsevier, vol. 37(C), pages 1-16.
  58. Sanjay Sehgal & Neharika Sobti & Florent Diesting, 2021. "Who leads in intraday gold price discovery and volatility connectedness: Spot, futures, or exchange‐traded fund?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(7), pages 1092-1123, July.
  59. Revoredo-Giha, Cesar & Zuppiroli, Marco, 2013. "Commodity futures markets: are they an effective price risk management tool for the European wheat supply chain?," Bio-based and Applied Economics Journal, Italian Association of Agricultural and Applied Economics (AIEAA), vol. 2(3), pages 1-19, December.
  60. Joanne Hill & Thomas Schneeweis, 1982. "The Hedging Effectiveness Of Foreign Currency Futures," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 5(1), pages 95-104, March.
  61. Benninga, Simon & Eldor, Rafael & Zilcha, Itzhak, 1983. "Optimal hedging in the futures market under price uncertainty," Economics Letters, Elsevier, vol. 13(2-3), pages 141-145.
  62. Wang, Peijin & Zhang, Hongwei & Yang, Cai & Guo, Yaoqi, 2021. "Time and frequency dynamics of connectedness and hedging performance in global stock markets: Bitcoin versus conventional hedges," Research in International Business and Finance, Elsevier, vol. 58(C).
  63. Kuwornu, John K.M. & Kuiper, W. Erno & Pennings, Joost M.E. & Meulenberg, Matthew T.G., 2006. "Risk Management Using Futures Contracts: The Impact of Spot Market Contracts and Production Horizons on the Optimal Hedge Ratio," 99th Seminar, February 8-10, 2006, Bonn, Germany 7755, European Association of Agricultural Economists.
  64. Benoît Sévi, 2006. "Ederington's ratio with production flexibility," Economics Bulletin, AccessEcon, vol. 7(1), pages 1-8.
  65. Souhir, Ben Amor & Heni, Boubaker & Lotfi, Belkacem, 2019. "Price risk and hedging strategies in Nord Pool electricity market evidence with sector indexes," Energy Economics, Elsevier, vol. 80(C), pages 635-655.
  66. Chen, Sheng-Syan & Lee, Cheng-few & Shrestha, Keshab, 2003. "Futures hedge ratios: a review," The Quarterly Review of Economics and Finance, Elsevier, vol. 43(3), pages 433-465.
  67. Atreya Chakraborty & John Barkoulas, 1999. "Dynamic futures hedging in currency markets," The European Journal of Finance, Taylor & Francis Journals, vol. 5(4), pages 299-314.
  68. Chuck Mason & Dermot J. Hayes & Sergio H. Lence, 2002. "Systemic risk in U.S. crop reinsurance programs," Agricultural Finance Review, Emerald Group Publishing Limited, vol. 63(1), pages 23-39, December.
  69. Ascheberg, Marius & Bick, Björn & Kraft, Holger, 2013. "Hedging structured credit products during the credit crisis: A horse race of 10 models," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1687-1705.
  70. Yuting Gong & Xueqin Wang & Mo Zhu & Ying‐En Ge & Wenming Shi, 2023. "Maximum utility portfolio construction in the forward freight agreement markets: Evidence from a multivariate skewed t copula," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(1), pages 69-89, January.
  71. Vishwas B. & N. Sivakumar, 2016. "Mutual Fund Portfolio Hedging Using Index Futures: An Empirical Analysis," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 5(3), pages 203-210, August.
  72. Jahangir Sultan & Mohammad Hasan, 2008. "The effectiveness of dynamic hedging: evidence from selected European stock index futures," The European Journal of Finance, Taylor & Francis Journals, vol. 14(6), pages 469-488.
  73. Chang, Chia-Lin & McAleer, Michael & Wang, Yanghuiting, 2018. "Testing Co-Volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances," Energy, Elsevier, vol. 151(C), pages 984-997.
  74. Mandeep Kaur & Kapil Gupta, 2019. "Estimating Hedging Effectiveness Using Variance Reduction And Risk-Return Approaches: Evidence From National Stock Exchange Of India," Copernican Journal of Finance & Accounting, Uniwersytet Mikolaja Kopernika, vol. 8(4), pages 149-169.
  75. Joost M.E. Pennings & Raymond M. Leuthold, 1999. "Futures Exchange Innovations: Reinforcement versus Cannibalism," Finance 9905003, University Library of Munich, Germany.
  76. Katelijne A.E. Carbonez & Van Thi Tuong Nguyen & Piet Sercu, 2011. "Hedging with Two Futures Contracts: Simplicity Pays," European Financial Management, European Financial Management Association, vol. 17(5), pages 806-834, November.
  77. Carol Alexander & Jun Deng & Bin Zou, 2021. "Hedging with Bitcoin Futures: The Effect of Liquidation Loss Aversion and Aggressive Trading," Papers 2101.01261, arXiv.org, revised Aug 2021.
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  79. Michael S. Haigh & Matthew T. Holt, 2002. "Crack spread hedging: accounting for time-varying volatility spillovers in the energy futures markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(3), pages 269-289.
  80. Elizabeth A. Maharaj & Imad Moosa & Jonathan Dark & Param Silvapulle, 2008. "Wavelet Estimation of Asymmetric Hedge Ratios: Does Econometric Sophistication Boost Hedging Effectiveness?," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 7(3), pages 213-230, December.
  81. Li, Ming-Yuan Leon, 2009. "Could the jump diffusion technique enhance the effectiveness of futures hedging models?," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(10), pages 3076-3088.
  82. Ruan, Qingsong & Zhou, Mi & Yin, Linsen & Lv, Dayong, 2021. "Hedging effectiveness of Chinese Treasury bond futures: New evidence based on nonlinear analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 565(C).
  83. Morema, Kgotso & Bonga-Bonga, Lumengo, 2020. "The impact of oil and gold price fluctuations on the South African equity market: Volatility spillovers and financial policy implications," Resources Policy, Elsevier, vol. 68(C).
  84. Troncoso Sepúlveda, Ricardo & Cabas Monje, Juan, 2019. "Factibilidad del uso de contratos de futuros del Chicago Mercantile Exchange para la cobertura del riesgo de precio en el ganado bovino chileno," Revista Lecturas de Economía, Universidad de Antioquia, CIE, issue 90, pages 9-44, January.
  85. Ahmad Bash & Abdullah M. Al-Awadhi & Fouad Jamaani, 2016. "Measuring the Hedge Ratio: A GCC Perspective," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 8(7), pages 1-1, July.
  86. Fu, Junhui, 2014. "Multi-objective hedging model with the third central moment and the capital budget," Economic Modelling, Elsevier, vol. 36(C), pages 213-219.
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  88. Cifarelli, Giulio & Paladino, Giovanna, 2011. "Hedging vs. speculative pressures on commodity futures returns," MPRA Paper 28229, University Library of Munich, Germany.
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