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政大典藏 > College of Commerce > Department of Finance > Periodical Articles > 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 link:	http://dx.doi.org/10.1002/fut.10121
DOI:	10.1002/fut.10121
Appears in Collections:	[Department of Finance] Periodical Articles

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