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Information Journal Paper

Title

Effectiveness of a Time-Varying and Constant Hedge Ratio: Evidence from Gold Coin’ s Futures Contracts Traded in Iran Mercantile Exchange

Pages

  711-734

Abstract

 In emerging markets, the growth of capital and commodity futures market would depend on effectiveness of derivatives in managing risk. For managing risk, understanding Optimal Hedge Ratio is critical for devising effective hedging strategy. The present paper estimates the minimum variance Optimal Hedge Ratio of gold coin's futures contracts in Iran, by using various econometric methods. It is found that by putting futures contract in the portfolio, the risk is significantly reduced. In the comparison of the estimated Optimal Hedge Ratio among various econometric methods, CCC_GARCH, OLS and VECM have more ability in risk reduction as compared to others. Contrary to expectation, by applying conditional variance-covariance matrix, Garch model is not more efficient compared to other approaches. One reason could be the short history of the futures market in Iran which causes low efficiency in delivering the right information to investors is the market.

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    APA: Copy

    MEHRARA, MOHSEN, & NAEBI, FATEMEH. (2017). Effectiveness of a Time-Varying and Constant Hedge Ratio: Evidence from Gold Coin’ s Futures Contracts Traded in Iran Mercantile Exchange. TAHGHIGHAT-E-EGHTESADI, 52(3 ), 711-734. SID. https://sid.ir/paper/11810/en

    Vancouver: Copy

    MEHRARA MOHSEN, NAEBI FATEMEH. Effectiveness of a Time-Varying and Constant Hedge Ratio: Evidence from Gold Coin’ s Futures Contracts Traded in Iran Mercantile Exchange. TAHGHIGHAT-E-EGHTESADI[Internet]. 2017;52(3 ):711-734. Available from: https://sid.ir/paper/11810/en

    IEEE: Copy

    MOHSEN MEHRARA, and FATEMEH NAEBI, “Effectiveness of a Time-Varying and Constant Hedge Ratio: Evidence from Gold Coin’ s Futures Contracts Traded in Iran Mercantile Exchange,” TAHGHIGHAT-E-EGHTESADI, vol. 52, no. 3 , pp. 711–734, 2017, [Online]. Available: https://sid.ir/paper/11810/en

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