Hedging effectiveness of European wheat futures markets

Cesar Revoredo-Giha and Marco Zuppiroli

No 182948, 2014 International Congress, August 26-29, 2014, Ljubljana, Slovenia from European Association of Agricultural Economists

Abstract: The instability of commodity prices and the hypothesis that speculative behaviour was one of its causes has brought renewed interest in futures markets. In this paper, the hedging effectiveness of European and US wheat futures markets were studied to test whether they were affected by the high price instability after 2007. Implicitly, this is a test of whether the increasing presence of speculation in futures markets have made them divorced from the physical markets. A multivariate GARCH model was applied to compute optimal hedging ratios. No important evidence was found of a change in the effectiveness of hedging after 2007.

Keywords: Agribusiness; Financial Economics; International Relations/Trade (search for similar items in EconPapers)
Pages: 6
Date: 2014-08
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://ageconsearch.umn.edu/record/182948/files/E ... _-_Wheat_futures.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ags:eaae14:182948

DOI: 10.22004/ag.econ.182948

Access Statistics for this paper

More papers in 2014 International Congress, August 26-29, 2014, Ljubljana, Slovenia from European Association of Agricultural Economists Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().