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    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: http://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

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