IDEAS home Printed from https://ideas.repec.org/a/pal/jintbs/v18y1987i1p75-82.html
   My bibliography  Save this article

Hedging Foreign Exchange Risk Using Forward Foreign Exchange Markets: An Extension

Author

Listed:
  • Peggy E Swanson

    (University of Texas at Arlington)

  • Stephen C Caples

    (Lamar University)

Abstract

This study investigates minimum risk-hedging ratios and the hedging effectiveness of forward foreign exchange markets for the British pound and the German mark during the period January 4, 1982—April 30, 1984. These currencies are selected because of their importance in foreign exchange markets and their use as international currencies. Evidence is strong that the presence of autocorrelation not only overstates optimal hedge ratios but also overstates hedging effectiveness for these two currencies. The lower optimal hedging ratios found in this study than in earlier works is thus largely attributed to the adjustment for autocorrelation.© 1987 JIBS. Journal of International Business Studies (1987) 18, 75–82

Suggested Citation

  • Peggy E Swanson & Stephen C Caples, 1987. "Hedging Foreign Exchange Risk Using Forward Foreign Exchange Markets: An Extension," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 18(1), pages 75-82, March.
    • Handle: RePEc:pal:jintbs:v:18:y:1987:i:1:p:75-82
    as

    Download full text from publisher

    File URL: http://www.palgrave-journals.com/jibs/journal/v18/n1/pdf/8490400a.pdf
    File Function: Link to full text PDF
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: http://www.palgrave-journals.com/jibs/journal/v18/n1/full/8490400a.html
    File Function: Link to full text HTML
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Falls, Gregory A. & Natke, Paul A., 1996. "Cash flow instability and the demand for liquid assets by firms in Brazilian Manufacturing," The Quarterly Review of Economics and Finance, Elsevier, vol. 36(2), pages 233-248.
    2. Abhimanyu Sahoo & Seshadev Sahoo, 2020. "What Drives Derivatives: An Indian Perspective," JRFM, MDPI, vol. 13(6), pages 1-19, June.
    3. Libo Yin & Liyan Han, 2015. "Hedging International Foreign Exchange Risks via Option Based Portfolio Insurance," Computational Economics, Springer;Society for Computational Economics, vol. 45(1), pages 151-181, January.
    4. Vohra, Suprita & Fabozzi, Frank J., 2019. "Effectiveness of developed and emerging market FX options in active currency risk management," Journal of International Money and Finance, Elsevier, vol. 96(C), pages 130-146.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pal:jintbs:v:18:y:1987:i:1:p:75-82. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.palgrave-journals.com/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.