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A note on the hedging effectiveness of foreign currency futures

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  • Joanne Hill
  • Thomas Schneeweis

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  • Joanne Hill & Thomas Schneeweis, 1981. "A note on the hedging effectiveness of foreign currency futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 1(4), pages 659-664, December.
    • Handle: RePEc:wly:jfutmk:v:1:y:1981:i:4:p:659-664
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    Cited by:

    1. Qu, Hui & Wang, Tianyang & Zhang, Yi & Sun, Pengfei, 2019. "Dynamic hedging using the realized minimum-variance hedge ratio approach – Examination of the CSI 300 index futures," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).
    2. Białkowski, Jędrzej & Bohl, Martin T. & Perera, Devmali, 2023. "Commodity futures hedge ratios: A meta-analysis," Journal of Commodity Markets, Elsevier, vol. 30(C).
    3. Corbet, Shaen & Hou, Yang (Greg) & Hu, Yang & Oxley, Les, 2022. "The influence of the COVID-19 pandemic on the hedging functionality of Chinese financial markets," Research in International Business and Finance, Elsevier, vol. 59(C).
    4. Andrea L. DeMaskey, 1997. "Single and Multiple Portfolio Cross-Hedging with Currency Futures," Multinational Finance Journal, Multinational Finance Journal, vol. 1(1), pages 23-46, March.
    5. Carlos Esparcia & Tarek Fakhfakh & Francisco Jareño & Achraf Ghorbel, 2024. "Dynamic DeFi-G7 stock markets interactions and their potential role in diversifying and hedging strategies," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-26, December.
    6. You‐How Go & Jia‐Jun Teo & Kam Fong Chan, 2023. "The effectiveness of crude oil futures hedging during infectious disease outbreaks in the 21st century," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(11), pages 1559-1575, November.
    7. Ghoddusi, Hamed & Emamzadehfard, Sahar, 2017. "Optimal hedging in the US natural gas market: The effect of maturity and cointegration," Energy Economics, Elsevier, vol. 63(C), pages 92-105.
    8. Asim Ghosh & Ronnie Clayton, 1996. "Hedging With International Stock Index Futures: An Intertemporal Error Correction Model," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 19(4), pages 477-491, December.
    9. Chao Jiang & Ira G. Kawaller & Paul D. Koch, 2016. "Designing A Proper Hedge: Theory Versus Practice," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 39(2), pages 123-144, June.
    10. Jędrzej Białkowski & Martin T. Bohl & Devmali Perera, 2022. "Commodity Futures Hedge Ratios: A Meta-Analysis," Working Papers in Economics 22/12, University of Canterbury, Department of Economics and Finance.
    11. Du, Jiangze & Wang, Jying-Nan & Hsu, Yuan-Teng & Lai, Kin Keung, 2018. "The importance of hedging currency risk: Evidence from CNY and CNH," Economic Modelling, Elsevier, vol. 75(C), pages 81-92.

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