政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/117533

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 113303/144284 (79%)
Visitors : 50800276 Online Users : 694

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 > Item 140.119/117533

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/117533

Title:	An Empirical Analysis of the Relationship between the Hedge Ratio and Hedging Horizon: A Simultaneous Estimation of the Short- and Long-Run Hedge Ratios
Authors:	陳聖賢 Chen, Sheng-Syan Lee, Cheng-few Shrestha, Keshab
Contributors:	財管系
Date:	2004
Issue Date:	2018-06-11 15:40:01 (UTC+8)
Abstract:	This article analyzes the effects of the length of hedging horizon on the optimal hedge ratio and hedging effectiveness using 9 different hedging horizons and 25 different commodities. We discuss the concept of short‐ and long‐run hedge ratios and propose a technique to simultaneously estimate them. The empirical results indicate that the short‐run hedge ratios are significantly less than 1 and increase with the length of hedging horizon. We also find that hedging effectiveness increases with the length of hedging horizon. However, the long‐run hedge ratio is found to be close to the naïve hedge ratio of unity. This implies that, if the hedging horizon is long, then the naïve hedge ratio is close to the optimum hedge ratio.
Relation:	Journal of Futures Markets, Vol.24, No.4, pp.359-386
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1002/fut.10121
DOI:	10.1002/fut.10121
Appears in Collections:	[財務管理學系] 期刊論文

Files in This Item:

File	Description	Size	Format
JournalofFuturesMarkets.pdf		184Kb	Adobe PDF2	531	View/Open

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

Loading...