OPTIMAL HEDGE RATIO FOR GOLD COIN FUTURES CONTRACTS TRADED IN IRAN MERCANTILE EXCHANGE (IME)

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BAHRAMI JAVID; MIRZAPOOR BABAJAN AKBAR

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Journal: Journal of Economic Research and Policies Year:2013 | Volume:20 | Issue:64 Page(s): 175-206

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Information Journal Paper

Title

OPTIMAL HEDGE RATIO FOR GOLD COIN FUTURES CONTRACTS TRADED IN IRAN MERCANTILE EXCHANGE (IME)

Author(s)

BAHRAMI JAVID | MIRZAPOOR BABAJAN AKBAR | Issue Writer Certificate

Keywords

MINIMUM VARIANCE OPTIMAL HEDGE RATIOQ2

FUTURES CONTRACTQ2

HEDGING EFFECTIVENESSQ2

GARCH MODELSQ2

Abstract

The paper estimates and compares the MINIMUM VARIANCE OPTIMAL HEDGE RATIOs (OHR) for gold coin FUTURES CONTRACTs traded in Iran Mercantile Exchange (IME), applying various econometric methods. Results of the paper indicate that considering different maturities for futures prices, brings considerable changes to the outcome, in a way that if the first maturity date is regarded as the price for the FUTURES CONTRACT, hedge ratios shall exceed that of the second maturity date. The findings also reveal that optimal hedge ratios computed through alternative econometric methods outperform simple hedge strategy (optimal hedge ratio equal one). The final conclusion is that, time-variant optimal hedge ratios derived from GARCH MODELS are not necessarily better capable of reducing the risk, comparing time-invariant optimal hedge ratios.

Cites

References

FUTURES HEDGE RATIOS: A REVIEW

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APA: Copy

BAHRAMI, JAVID, & MIRZAPOOR BABAJAN, AKBAR. (2013). OPTIMAL HEDGE RATIO FOR GOLD COIN FUTURES CONTRACTS TRADED IN IRAN MERCANTILE EXCHANGE (IME). JOURNAL OF ECONOMIC RESEARCH AND POLICIES, 20(64), 175-206. SID. https://sid.ir/paper/89557/en

Vancouver: Copy

BAHRAMI JAVID, MIRZAPOOR BABAJAN AKBAR. OPTIMAL HEDGE RATIO FOR GOLD COIN FUTURES CONTRACTS TRADED IN IRAN MERCANTILE EXCHANGE (IME). JOURNAL OF ECONOMIC RESEARCH AND POLICIES[Internet]. 2013;20(64):175-206. Available from: https://sid.ir/paper/89557/en

IEEE: Copy

JAVID BAHRAMI, and AKBAR MIRZAPOOR BABAJAN, “OPTIMAL HEDGE RATIO FOR GOLD COIN FUTURES CONTRACTS TRADED IN IRAN MERCANTILE EXCHANGE (IME),” JOURNAL OF ECONOMIC RESEARCH AND POLICIES, vol. 20, no. 64, pp. 175–206, 2013, [Online]. Available: https://sid.ir/paper/89557/en

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