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Hedging foreign currency, freight, and commodity futures portfolios—A note
Author(s) -
Haigh Michael S.,
Holt Matthew T.
Publication year - 2002
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/fut.10050
Subject(s) - futures contract , currency , portfolio , financial economics , commodity , foreign exchange , economics , derivative (finance) , forward market , foreign exchange risk , business , monetary economics , finance
Foreign exchange hedging ratios are simultaneously estimated alongside freight and commodity ratios in atime‐varying portfolio framework. Foreign exchange futures are by far the most important derivativeinstrument used to reduce uncertainty for traders. Our results lend support to the decision by the LondonInternational Financial Futures Exchange to cease trading the Baltic International Freight Futures Exchangefreight futures contract because of its low levels of trading activity that likely resulted from its apparentunattractiveness as a hedging instrument. @ 2002 Wiley Periodicals, Inc. Jrl Fut Mark 22:1205–1221,2002