6533b833fe1ef96bd129b794
RESEARCH PRODUCT
Exploring the Hedging Effectiveness of European Wheat Futures Markets during the 2007-2012 Period
Cesar Revoredo-gihaMarco Zuppirolisubject
Multivariate garch modelcommodity pricesEurope.Financial economicsFutures priceswheatGeneral EngineeringEconomicsvolatilityEnergy Engineering and Power TechnologyVolatility (finance)SpeculationFutures contractdescription
Abstract The hypothesis that speculative behaviour was the cause of the instability of commodity prices has brought renewed interest in futures markets. In this paper, the hedging effectiveness of European and US wheat futures markets were studied to test whether they were affected by the price instability observed after 2007. Indirectly, this could also be thought as a test of whether the increasing presence of speculators in futures markets have made them divorced from physical markets. A multivariate GARCH model was applied to compute optimal hedging ratios. No important evidence was found of a change in the hedging effectiveness after 2007.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2014-01-01 | Procedia Economics and Finance |