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Basis Volatility: Implications For Hedging

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  • Mark G. Castelino

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  • Mark G. Castelino, 1989. "Basis Volatility: Implications For Hedging," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 12(2), pages 157-172, June.
    • Handle: RePEc:bla:jfnres:v:12:y:1989:i:2:p:157-172
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    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1989.tb00110.x
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    References listed on IDEAS

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    1. Samuelson, Paul A, 1976. "Is Real-World Price a Tale Told by the Idiot of Chance?," The Review of Economics and Statistics, MIT Press, vol. 58(1), pages 120-123, February.
    2. Leland L. Johnson, 1960. "The Theory of Hedging and Speculation in Commodity Futures," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 27(3), pages 139-151.
    3. Cox, John C. & Ingersoll, Jonathan Jr. & Ross, Stephen A., 1981. "The relation between forward prices and futures prices," Journal of Financial Economics, Elsevier, vol. 9(4), pages 321-346, December.
    4. Roger W. Gray, 1961. "The Search for a Risk Premium," Journal of Political Economy, University of Chicago Press, vol. 69(3), pages 250-250.
    5. Mark G. Castelino & Ashok Vora, 1984. "Spread volatility in commodity futures: The length effect," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 4(1), pages 39-46, March.
    6. Ederington, Louis H, 1979. "The Hedging Performance of the New Futures Markets," Journal of Finance, American Finance Association, vol. 34(1), pages 157-170, March.
    7. Holbrook Working, 1953. "Hedging Reconsidered," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 35(4), pages 544-561.
    8. Mark G. Castelino & Jack Clark Francis, 1982. "Basis speculation in commodity futures: The maturity effect," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 2(2), pages 195-206, June.
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    Cited by:

    1. Koziol, Philipp, 2014. "Inflation and interest rate derivatives for FX risk management: Implications for exporting firms under real wealth," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(4), pages 459-472.
    2. Frechette, Darren L., 2000. "Hedging With Futures And Options: A Demand Systems Approach," 2000 Conference, April 17-18 2000, Chicago, Illinois 18941, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    3. Goswami, Alankrita & Karali, Berna & Adjemian, Michael K., 2023. "Hedging with futures during nonconvergence in commodity markets," Journal of Commodity Markets, Elsevier, vol. 32(C).
    4. Revoredo-Giha, Cesar & Zuppiroli, Marco, 2013. "Commodity futures markets: are they an effective price risk management tool for the European wheat supply chain?," Bio-based and Applied Economics Journal, Italian Association of Agricultural and Applied Economics (AIEAA), vol. 2(3), pages 1-19, December.
    5. Williams, J., 2013. "Wheat and corn price skewness and volatility: Risk management implications for farmers and end users," Australasian Agribusiness Review, University of Melbourne, Department of Agriculture and Food Systems, vol. 21, pages 1-20.

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