Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/178514 
Year of Publication: 
2008
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 1 [Issue:] 1 [Publisher:] MDPI [Place:] Basel [Year:] 2008 [Pages:] 41-76
Publisher: 
MDPI, Basel
Abstract: 
This study investigates optimal hedge ratios in all base metal markets. Using recent hedging computation techniques, we find that 1) the short-run optimal hedging ratio is increasing in hedging horizon, 2) that the long-term horizon limit to the optimal hedging ratio is not converging to one but is slightly higher for most of these markets, and 3) that hedging effectiveness is also increasing in hedging horizon. When hedging with futures in these markets, one should hedge long-term at about 6 to 8 weeks with a slightly greater than one hedge ratio. These results are of interest to many purchasing departments and other commodity hedgers.
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-sa Logo
Document Type: 
Article

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.