Abstract
| Original language | English |
|---|---|
| Pages (from-to) | 132 - 148 |
| Number of pages | 17 |
| Journal | International Journal of Applied Management Science |
| Volume | 8 |
| Issue number | 2 |
| DOIs | |
| Publication status | First published - 17 Jun 2016 |
Fingerprint
Bibliographical note
1023375Keywords
- Commodity prices
- Commodity trading
- Europe
- Futures prices
- Hedging effectiveness
- Hedging ratio
- Multivariate GARCH model
- Price instability
- Risk management
- USA
- United States
- Wheat futures markets
Cite this
}
Hedging effectiveness of European wheat futures markets: an application of multivariate GARCH models. / Zuppiroli, M; Revoredo-Giha, C.
In: International Journal of Applied Management Science, Vol. 8, No. 2, 17.06.2016, p. 132 - 148.Research output: Contribution to journal › Article
TY - JOUR
T1 - Hedging effectiveness of European wheat futures markets: an application of multivariate GARCH models
AU - Zuppiroli, M
AU - Revoredo-Giha, C
N1 - 1023375
PY - 2016/6/17
Y1 - 2016/6/17
N2 - The instability of commodity prices and the hypothesis that speculative behaviour was one of its causes has brought renewed interest in futures markets. In this paper, the hedging effectiveness of European and US wheat futures markets were studied to test whether they were affected by the high price instability after 2007. In particular, the focus of the paper is to test of whether the increasing presence of financialization of commodity trading in futures markets mentioned in the literature has made them divorced from the physical markets. A multivariate GARCH model was applied to compute optimal hedging ratios. Important evidence was found of an slight improvement, after 2007, in the effectiveness of hedging with the European futures.
AB - The instability of commodity prices and the hypothesis that speculative behaviour was one of its causes has brought renewed interest in futures markets. In this paper, the hedging effectiveness of European and US wheat futures markets were studied to test whether they were affected by the high price instability after 2007. In particular, the focus of the paper is to test of whether the increasing presence of financialization of commodity trading in futures markets mentioned in the literature has made them divorced from the physical markets. A multivariate GARCH model was applied to compute optimal hedging ratios. Important evidence was found of an slight improvement, after 2007, in the effectiveness of hedging with the European futures.
KW - Commodity prices
KW - Commodity trading
KW - Europe
KW - Futures prices
KW - Hedging effectiveness
KW - Hedging ratio
KW - Multivariate GARCH model
KW - Price instability
KW - Risk management
KW - USA
KW - United States
KW - Wheat futures markets
U2 - 10.1504/IJAMS.2016.077006
DO - 10.1504/IJAMS.2016.077006
M3 - Article
VL - 8
SP - 132
EP - 148
JO - International Journal of Applied Management Science
JF - International Journal of Applied Management Science
SN - 1755-8913
IS - 2
ER -