During 2007, the gold price was declining due to effect from Global Financial Crisis. After this period, gold price suffered significant drop due to low inflation among countries.Hedging is a tool to mitigate risk and uncertainty in gold prices. This research analyzed the relationship between gold spot and futures prices in the Asian markets (Singapore, Thailand, Indonesia, Malaysia, Tokyo, Korea, Shanghai and Hong Kong) and London market. This study also investigated the ability of gold futures as a hedging tool to gold spot during financial market stress. The investigation employed multivariate GARCH and OLS models for optimal hedge ratio estimation of gold futures. Sample data consists of daily gold spot and futures prices denoted in US dollars per troy ounces. There are four sub–periods (Period I, Period II, Period III and Period IV) considered which covers from 2nd February 2009 until 31st October 2014 of 1500 observations. Using Diagonal BEKK model, it can be suggested that one dollar long (buy)in gold spot should be shorted (sold) by about 78.26 cents of Thailand gold futures during the crisis period and Thailand futures market of 74.85 cents for the post crisis period. It can be argued that hedging effectiveness is higher during global financial crisis as compared to post global financial crisis. It is observed that Diagonal BEKK outperformed minimum variance, CCC and DCC models.
Abstract:Most previous studies on the performance of water utility services have adopted the standard data envelopment analysis (DEA) with slight modification. However, there are some loopholes which they have neglected the internal structure of proper measures of the operating performance of water utilities. This study uses a two-stage DEA to measure the performance of water supply services in Malaysia. The first stage uses operating cost and other factors to sustain the water production in terms of length of pipes involved and the number of clients. While in the second stage, the water production will generate revenue due to water delivered or consumed by clients. The two stages are an integrated efficiency model where optimal performance can be measured for both stages at the same time. The model will forms efficiency breakdown for both individual stages and uniquely it provides informative comprehensions compared to the traditional DEA.
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