Asset Storability and Hedging Effectiveness in Commodity Futures Markets
| Author(s) | Yang, Jian | |
| Author(s) | Awokuse, Titus | |
| Date Accessioned | 2004-10-10T20:47:24Z | |
| Date Available | 2004-10-10T20:47:24Z | |
| Publication Date | 2002-06 | |
| Abstract | This paper examines risk minimization hedging effectiveness for major storable and nonstorable agricultural commodity futures markets. Based on the error correction model – bivariate GARCH frameworks, some evidence is found that the hedging effectiveness is stronger for storable commodities than nonstorable commodities under consideration. The finding illustrates an important difference between storable and nonstorable commodities with regard to their hedging function. | en |
| Extent | 268313 bytes | |
| MIME type | application/pdf | |
| URL | http://udspace.udel.edu/handle/19716/119 | |
| Language | en_US | |
| Publisher | Department of Food and Resource Economics | en |
| Part of Series | SP02-03 | |
| Keywords | Commodity futures | en |
| Keywords | Asset storability | en |
| Keywords | Hedging effectiveness | en |
| Keywords | Multivariate GARCH JEL classification: D82, G19 | en |
| Title | Asset Storability and Hedging Effectiveness in Commodity Futures Markets | en |
| Type | Staff Paper | en |