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Hokkaido University Collection of Scholarly and Academic Papers >
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北海道農業経済研究 = Hokkaido Jounal of Agricultural Economics >
第7巻 第1号 >
ベーシスリスクと最小分散ヘッジ取引の効率性
| Title: | ベーシスリスクと最小分散ヘッジ取引の効率性 |
| Other Titles: | Basis Risk and Minimum Variance Hedging Effectiveness |
| Authors: | 延, 圭英1 Browse this author |
| Authors(alt): | Youn, Gueyoung1 |
| Issue Date: | 28-Feb-1998 |
| Publisher: | 北海道農業経済学会 |
| Journal Title: | 北海道農業経済研究 |
| Volume: | 7 |
| Issue: | 1 |
| Start Page: | 12 |
| End Page: | 22 |
| Abstract: | Hedgers generally view hedging in terms of the basis. This is because hedgers also consider the effect of the hedge on the returns of position. Therefore basis risk can play a significant role in the determination of effective hedging strategies. The purpose of this paper is to evaluate the effect of hedging and hedging effectiveness on the minimum variance hedging (M-V hedging) strategies with due regard to basis risk, for red-bean and imported soybean futures markets. The empirical results in this study are as follows; First, for red-bean futures, M-V hedging can reduce risk by as much as 15% below that of basis risk in nearby contract (kizika contract). In middle and distant contract (kinaka and kisaki), however, the risk-reduction potential of M-V hedging is almost nonexistent (middle contract is 0.7% and distant contract is 2.63%). For nearby and distant contract in imported soybean futures, the equivalent risk reduction is 12.35% and 24.39%, respectively. Second, for red-bean and imported soybean futures, the correlation coefficients between spot and futures price for nearby contract is high which confirms that the determination of effective hedging may be selected as nearby contract. Third, for red-bean futures market, the effect of naive hedging and M-V hedging exist in the all contract. Fourth, for imported soybean futures market, the effect of M-V hedging exist in the all contract. In the case of naive hedging, however, the effect of hedging for distant contract is nonexistent. Fifth, for red-bean and imported soybean futures markets, the effect of M-V hedging as opposed to naive hedging is nonexistent. |
| Type: | article |
| URI: | http://hdl.handle.net/2115/63143 |
| Appears in Collections: | 北海道農業経済研究 = Hokkaido Jounal of Agricultural Economics > 第7巻 第1号
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