Hedging with Chinese metal futures

Lien, Donald; Yang, Li

doi:10.1016/j.gfj.2008.01.004

Cited by 14 publications

(1 citation statement)

References 23 publications

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“…Lien and Yang (2008) evaluated different hedging strategies for aluminum and copper futures contracts traded at Shanghai Futures Exchange and he suggested that the basis has asymmetric effects and optimal hedging strategy constructed from the asymmetric BFIGARCH model tends to produce the best in-sample and out-of-sample hedging performance. In addition, Leon Li (2009) indicated that the out-of-sample performance of the MVSWARCH-based hedge ratio is statistically marginal when investors hold a well-diversified market portfolio as their spot position and tranquil periods are experienced.…”

Section: Literature Reviewmentioning

confidence: 99%

Hedging Effectiveness in Energy Market during Economic Crisis: Better Way to Integration

Samitas¹,

Tsakalos²,

Eriotis³

2011

JEI

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This paper investigates hedging and risk management options in the energy sector. Energy firms tend to adopt risk management tools in order to cover their financial exposure. Taking into consideration that current crisis has a significant effect on their value; we check whether energy firms actually have better output when they use hedging tools. In order to measure the effectiveness of this strategy in the energy industry, we adopt Tobin's Q methodology. The sample of this study consists energy firms on a worldwide basis. The empirical evidence of this research confirms that energy firms may avoid huge economic problems when they adopt risk management methods. It is better enery market integration.• JEL Classification: G14, G15

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Section: Literature Reviewmentioning

confidence: 99%