Hedging Effectiveness and Optimal Hedge Ratios: An Analysis of Malaysian Crude Palm Oil Futures Market
This paper deals with the estimation of hedge ratios and hedging effectiveness of crude palm oil futures market in Malaysia for the period from January 2000 to August 2015. To measure hedging performances of optimal hedge ratio, different measures have been employed such as the static hedge ratio es...
| Main Author: | |
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2015
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| Online Access: | https://eprints.nottingham.ac.uk/30156/ |
| _version_ | 1848793932609093632 |
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| author | OH, STELLA JIA XIN |
| author_facet | OH, STELLA JIA XIN |
| author_sort | OH, STELLA JIA XIN |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | This paper deals with the estimation of hedge ratios and hedging effectiveness of crude palm oil futures market in Malaysia for the period from January 2000 to August 2015. To measure hedging performances of optimal hedge ratio, different measures have been employed such as the static hedge ratio estimation models of conventional Ordinary Least Square (OLS) model and Vector Error Correction Model (VECM), while the time-varying model is presented by the Diagonal Vech Multivariate Generalized Autoregressive Conditional Heteroscedasticity (DVEC-MGARCH) model. Using daily spot and futures prices of crude palm oil which are traded on the Bursa Malaysia Derivatives Berhad, OLS regression model provides the largest variance reduction of the return portfolio. This result has been evidenced by many previous studies. |
| first_indexed | 2025-11-14T19:08:09Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-30156 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T19:08:09Z |
| publishDate | 2015 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-301562017-10-19T14:52:48Z https://eprints.nottingham.ac.uk/30156/ Hedging Effectiveness and Optimal Hedge Ratios: An Analysis of Malaysian Crude Palm Oil Futures Market OH, STELLA JIA XIN This paper deals with the estimation of hedge ratios and hedging effectiveness of crude palm oil futures market in Malaysia for the period from January 2000 to August 2015. To measure hedging performances of optimal hedge ratio, different measures have been employed such as the static hedge ratio estimation models of conventional Ordinary Least Square (OLS) model and Vector Error Correction Model (VECM), while the time-varying model is presented by the Diagonal Vech Multivariate Generalized Autoregressive Conditional Heteroscedasticity (DVEC-MGARCH) model. Using daily spot and futures prices of crude palm oil which are traded on the Bursa Malaysia Derivatives Berhad, OLS regression model provides the largest variance reduction of the return portfolio. This result has been evidenced by many previous studies. 2015-09-17 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/30156/1/MSC%20FINANCE%20AND%20INVESTMENT%20STELLA%20OH%20JIA-XIN.pdf OH, STELLA JIA XIN (2015) Hedging Effectiveness and Optimal Hedge Ratios: An Analysis of Malaysian Crude Palm Oil Futures Market. [Dissertation (University of Nottingham only)] |
| spellingShingle | OH, STELLA JIA XIN Hedging Effectiveness and Optimal Hedge Ratios: An Analysis of Malaysian Crude Palm Oil Futures Market |
| title | Hedging Effectiveness and Optimal Hedge Ratios: An Analysis of Malaysian Crude Palm Oil Futures Market |
| title_full | Hedging Effectiveness and Optimal Hedge Ratios: An Analysis of Malaysian Crude Palm Oil Futures Market |
| title_fullStr | Hedging Effectiveness and Optimal Hedge Ratios: An Analysis of Malaysian Crude Palm Oil Futures Market |
| title_full_unstemmed | Hedging Effectiveness and Optimal Hedge Ratios: An Analysis of Malaysian Crude Palm Oil Futures Market |
| title_short | Hedging Effectiveness and Optimal Hedge Ratios: An Analysis of Malaysian Crude Palm Oil Futures Market |
| title_sort | hedging effectiveness and optimal hedge ratios: an analysis of malaysian crude palm oil futures market |
| url | https://eprints.nottingham.ac.uk/30156/ |