Role of Indian Commodity Derivatives Market in Hedging Price Risk: Estimation of Constant and Dynamic Hedge Ratio and Hedging Effectiveness

2009 ◽  
Author(s):  
Brajesh Kumar ◽  
Ajay Pandey
Keyword(s):  
Risk Estimation ◽  
Price Risk ◽  
Hedge Ratio ◽  
Hedging Effectiveness ◽  
Commodity Derivatives

Examining the Hedging Effectiveness of Futures Contracts over Pre and Post Financial Crisis Period: Evidence from National Stock Exchange of India

2015 ◽  
Vol 3 (2) ◽  
Author(s):  
Kapil Gupta ◽  
Mandeep Kaur
Keyword(s):  
Financial Crisis ◽  
Stock Exchange ◽  
Futures Contracts ◽  
Price Risk ◽  
Hedge Ratio ◽  
Crisis Period ◽  
Hedging Effectiveness ◽  
Hedge Ratios ◽  
Time Invariant

Present study examines the efficiency of futures contracts in hedging unwanted price risk over highly volatile period i.e. June 2000 - December 2007 and January 2008 – June 2014, pre and post-financial crisis period, by using S&PC NXNIFTY, CNXIT and BANKNIFTY for near month futures contracts. The hedge ratios have been estimated by using five methods namely Ederingtons Model, ARMA-OLS, GARCH (p,q), EGARCH (p,q) and TGARCH (p,q). The study finds that hedging effectiveness increased during post crisis period for S&PC NXNIFTY and BANKNIFTY. However, for CNXIT hedging effectiveness was better during pre-crisis period than post crisis. The study also finds that time-invariant hedge ratio is more efficient than time-variant hedge ratio.

scholarly journals HOW EFFECTIVE IS FUTURES AS AN INSTRUMENT OF HEDGING AGAINST PRICE RISK? -A STUDY BASED ON SPOT AND FUTURE PRICES OF GOLD

2016 ◽  
Vol 4 (9) ◽  
pp. 143-150
Author(s):  
Shafeeque Muhammad ◽  
Thomachan
Keyword(s):  
Spot Market ◽  
Futures Market ◽  
Price Risk ◽  
Time Varying ◽  
Risk Hedging ◽  
Hedging Effectiveness ◽  
Cash Market ◽  
Hedge Ratios ◽  
Opposite Position

This paper examines the role of commodity futures market as an instrument of hedging against price risk. Hedging is the practice of offsetting the price risk in a cash market by taking an opposite position in the futures market. By taking a position in the futures market, which is opposite to the position held in the spot market, the producer can offset the losses in the latter with the gains in the former. Both static and time varying hedge ratios have been calculated using VECM-MGARCH model. Variance of return from hedge portfolio has been found to be low. Further hedging effectiveness has been observed to be around 12%.

Optimal Hedge Ratio and Hedging Effectiveness in Stock Futures Market: Evidence from National Stock Exchange, India

2019 ◽  
Vol 118 (3) ◽  
pp. 137-152
Author(s):  
A. Shanthi ◽  
R. Thamilselvan
Keyword(s):  
Banking Sector ◽  
Stock Exchange ◽  
Research Work ◽  
Futures Market ◽  
Least Square ◽  
Time Varying ◽  
Hedge Ratio ◽  
Hedging Effectiveness ◽  
Out Of Sample ◽  
Optimal Hedge

The major objective of the study is to examine the performance of optimal hedge ratio and hedging effectiveness in stock futures market in National Stock Exchange, India by estimating the following econometric models like Ordinary Least Square (OLS), Vector Error Correction Model (VECM) and time varying Multivariate Generalized Autoregressive Conditional Heteroscedasticity (MGARCH) model by evaluating in sample observation and out of sample observations for the period spanning from 1st January 2011 till 31st March 2018 by accommodating sixteen stock futures retrieved through www.nseindia.com by considering banking sector of Indian economy. The findings of the study indicate both the in sample and out of sample hedging performances suggest the various strategies obtained through the time varying optimal hedge ratio, which minimizes the conditional variance performs better than the employed alterative models for most of the underlying stock futures contracts in select banking sectors in India. Moreover, the study also envisage about the model selection criteria is most important for appropriate hedge ratio through risk averse investors. Finally, the research work is also in line with the previous attempts Myers (1991), Baillie and Myers (1991) and Park and Switzer (1995a, 1995b) made in the US markets

scholarly journals AB0407 CARDIOVASCULAR BURDEN IN SYSTEMIC SCLEROSIS: QRISK3 VERSUS FRAMINGHAM FOR RISK ESTIMATION

2021 ◽  
Vol 80 (Suppl 1) ◽  
pp. 1232.1-1232
Author(s):  
M. Di Battista ◽  
S. Barsotti ◽  
A. Della Rossa ◽  
M. Mosca
Keyword(s):  
Risk Factors ◽  
Myocardial Infarction ◽  
Systemic Sclerosis ◽  
High Risk ◽  
General Population ◽  
Risk Score ◽  
Predictive Accuracy ◽  
Risk Estimation ◽  
Cross Sectional

Background:Cardiovascular (CV) diseases, namely myocardial infarction and stroke, are not among the most known and frequent complications of systemic sclerosis (SSc), but there is growing evidence that SSc patients have a higher prevalence of CV diseases than the general population [1].Objectives:To compare two algorithms for CV risk estimation in a cohort of patients with SSc, finding any correlation with clinical characteristics of the disease.Methods:SSc patients without previous myocardial infarction or stroke were enrolled. Traditional CV risk factors, SSc-specific characteristics and ongoing therapies were assessed. Framingham and QRISK3 algorithms were then used to estimate the risk of develop a CV disease over the next 10 years.Results:Fifty-six SSc patients were enrolled. Framingham reported a median risk score of 9.6% (IQR 8.5), classifying 24 (42.9%) subjects at high risk, with a two-fold increase of the mean relative risk in comparison to general population. QRISK3 showed a median risk score of 15.8% (IQR 19.4), with 36 (64.3%) patients considered at high-risk. Both algorithms revealed a significant role of some traditional risk factors and a noteworthy potential protective role of endothelin receptor antagonists (p=0.003). QRISK3 was also significantly influenced by some SSc-specific characteristics, as limited cutaneous subset (p=0.01), interstitial lung disease (p=0.04) and non-ischemic heart involvement (p=0.03), with the first two that maintain statistically significance in the multivariate analysis (p=0.02 for both).Conclusion:QRISK3 classifies more SSc patients at high-risk to develop CV diseases than Framingham, and it seems to be influenced by some SSc-specific characteristics. If its predictive accuracy were prospectively verified, the use of QRISK3 as a tool in the early detection of SSc patients at high CV risk should be recommended.References:[1]Ngian GS, Sahhar J, Proudman SM, Stevens W, Wicks IP, Van Doornum S. Prevalence of coronary heart disease and cardiovascular risk factors in a national cross-sectional cohort study of systemic sclerosis. Ann Rheum Dis. 2012;71:1980-3.Disclosure of Interests:None declared

Risk Management with KOSDAQ50 Index Futures Markets

2003 ◽  
Vol 11 (2) ◽  
pp. 51-79
Author(s):  
Gyu Hyeon Mun ◽  
Jeong Hyo Hong
Keyword(s):  
Garch Model ◽  
Minimum Variance ◽  
Price Risk ◽  
Risk Minimization ◽  
Index Futures ◽  
Hedging Strategies ◽  
Hedging Effectiveness ◽  
Hedge Ratios ◽  
Sample Data ◽  
Hedging Performance

This paper studies hedging strategies that use the KOSDAQ50 index futures to hedge the price risk of the KOSDAQ50 index spot portfolio. This study uses the minimum variance hedge model and bivariate ECT-GARCH (1,1) model as hedging models, and analyzes their hedging performances. The sample period covers from January 31, 2001 to December 31, 2002. The most important findings may be summarized as follows. First, both the risk-minimization and GARCH model exhibit hedge ratios that are substantially lower than one. Hedge ratios of the risk-minimization tend to be higher than those of GARCH model. Second, for the in-sample data, hedging effectiveness of GARCH model is higher than that of the risk-minimization, while for the out-of-sample data, hedging effectiveness of the risk-minimization with constant hedge ratios is not far behind the GARCH model in its hedging performance. Third, the hedging performance of KOSDAQ50 index futures is lower than that of KOSPI200 index futures, but higher than that of KTB futures. In conclusion, in the KOSDAQ50 index market, investors are encouraged to use the simple risk-minimization model to hedge the price risk of KOSDAQ50 spot portfolios.

The role of long memory in hedging effectiveness

2008 ◽  
Vol 52 (6) ◽  
pp. 3075-3082 ◽  
Author(s):  
Jerry Coakley ◽  
Jian Dollery ◽  
Neil Kellard
Keyword(s):  
Long Memory ◽  
Hedging Effectiveness

scholarly journals The Role of Cardiopulmonary Exercise Test in IPF Prognosis

2013 ◽  
Vol 2013 ◽  
pp. 1-9 ◽  
Author(s):  
Christina Triantafillidou ◽  
Effrosyni Manali ◽  
Panagiotis Lyberopoulos ◽  
Likourgos Kolilekas ◽  
Konstantinos Kagouridis ◽  
...  
Keyword(s):  
Oxygen Consumption ◽  
Exercise Testing ◽  
Risk Estimation ◽  
Minute Ventilation ◽  
Cardiopulmonary Exercise Testing ◽  
Lung Mechanics ◽  
Peak Oxygen Consumption ◽  
Exercise Limitation ◽  
Cardiopulmonary Exercise

Background. In IPF, defects in lung mechanics and gas exchange manifest with exercise limitation due to dyspnea, the most prominent and disabling symptom.Aim. To evaluate the role of exercise testing through the 6MWT (6-minute walk test) and CPET (cardiopulmonary exercise testing) in the survival of patients with IPF.Methods. This is a prospective, observational study evaluating in 25 patients the relationship between exercise variables through both the 6MWT and CPET and survival.Results. By the end of the observational period 17 patients were alive (33% mortality). Observation ranged from 9 to 64 months. VE/VCO2slope (slope of relation between minute ventilation and CO2production), VO2peak/kg (peak oxygen consumption/kg), VE/VCO2ratio at anaerobic threshold, 6MWT distance, desaturation, and DLCO% were significant predictors of survival while VE/VCO2slope and VO2peak/kg had the strongest correlation with outcome. The optimal model for mortality risk estimation was VO2peak/kg + DLCO% combined. Furthermore, VE/VCO2slope and VO2peak/kg were correlated with distance and desaturation during the 6MWT.Conclusion. The integration of oxygen consumption and diffusing capacity proved to be a reliable predictor of survival because both variables reflect major underlying physiologic determinants of exercise limitation.

scholarly journals Hedging Effectiveness of Commodity Futures Contracts to Minimize Price Risk: Empirical Evidence from the Italian Field Crop Sector

Risks ◽  
2021 ◽  
Vol 9 (12) ◽  
pp. 213
Author(s):  
Carlotta Penone ◽  
Elisa Giampietri ◽  
Samuele Trestini
Keyword(s):  
Financial Markets ◽  
Futures Markets ◽  
Futures Contracts ◽  
Price Risk ◽  
Field Crop ◽  
Exchange Market ◽  
Income Risk ◽  
The North ◽  
Hedging Effectiveness ◽  
American Counterpart

Over the last years, farmers have been increasingly exposed to income risk due to the volatility of the commodities prices. Among others, hedging in futures markets (i.e., financial markets) represents an available strategy for producers to cope with income risks at farm level. To better understand the advantages of such promising tools, this paper aims at analyzing the hedging effectiveness for soybean, corn and milling wheat producers in Italy. Following the literature, three different methodologies (i.e., naïve, OLS, GARCH) are applied for the estimation of the hedge portfolio, then compared to an unhedged portfolio for assessing the income risk reduction. Findings confirm the hedging effectiveness of futures contracts for all the considered commodities, showing also that this effect increases with longer hedge horizons, and also showing better performances for the European exchange market (i.e., Euronext), compared to the North American counterpart.

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