Hedging foreign currency, freight, and commodity futures portfolios—A note

Michael S. Haigh and Matthew Holt

Journal of Futures Markets, 2002, vol. 22, issue 12, 1205-1221

Abstract: Foreign exchange hedging ratios are simultaneously estimated alongside freight and commodity ratios in a time‐varying portfolio framework. Foreign exchange futures are by far the most important derivative instrument used to reduce uncertainty for traders. Our results lend support to the decision by the London International Financial Futures Exchange to cease trading the Baltic International Freight Futures Exchange freight futures contract because of its low levels of trading activity that likely resulted from its apparent unattractiveness as a hedging instrument. @ 2002 Wiley Periodicals, Inc. Jrl Fut Mark 22:1205–1221, 2002

Date: 2002
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Working Paper: HEDGING FOREIGN CURRENCY, FREIGHT AND COMMODITY FUTURES PORTFOLIOS: A NOTE (2002)
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