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:: Volume 20, Issue 64 (Quarterly Journal of Economic Issues and Policies 2013) ::
qjerp 2013, 20(64): 175-206 Back to browse issues page
Optimal Hedge Ratio for Gold Coin Futures Contracts Traded in Iran Mercantile Exchange (IME)
Bahrami Javid * , Akbar Mirzapoor Babajan
, javid_bahrami@yahoo.com
Abstract:   (10072 Views)
The paper estimates and compares the minimum variance optimal hedge ratios (OHR) for gold coin futures contracts traded in Iran Mercantile Exchange (IME), applying various econometric methods. Results of the paper indicate that considering different maturities for futures prices, brings considerable changes to the outcome, in a way that if the first maturity date is regarded as the price for the futures contract, hedge ratios shall exceed that of the second maturity date. The findings also reveal that optimal hedge ratios computed through alternative econometric methods outperform simple hedge strategy (optimal hedge ratio equal one). The final conclusion is that, time-variant optimal hedge ratios derived from GARCH models are not necessarily better capable of reducing the risk, comparing time-invariant optimal hedge ratios.
Keywords: Minimum Variance Optimal Hedge Ratio, Futures Contract, Hedging Effectiveness, GARCH Models
Full-Text [PDF 567 kb]   (4319 Downloads)    
Type of Study: Research | Subject: Special
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Javid B, Mirzapoor Babajan A. Optimal Hedge Ratio for Gold Coin Futures Contracts Traded in Iran Mercantile Exchange (IME). qjerp 2013; 20 (64) :175-206
URL: http://qjerp.ir/article-1-528-en.html


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Creative Commons License This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
Volume 20, Issue 64 (Quarterly Journal of Economic Issues and Policies 2013) Back to browse issues page
فصلنامه پژوهشها و سیاستهای اقتصادی Journal of Economic Research and Policies
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