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An empirical analysis of the hedging effectiveness of currency futures

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  • de Jong, A.
  • de Roon, F.A.

    (Tilburg University, School of Economics and Management)

  • Veld, C.H.

    (Tilburg University, School of Economics and Management)

Abstract

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Suggested Citation

  • de Jong, A. & de Roon, F.A. & Veld, C.H., 1995. "An empirical analysis of the hedging effectiveness of currency futures," Other publications TiSEM df8474ef-6869-447c-a779-7, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:df8474ef-6869-447c-a779-7b2d9a442df3
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    References listed on IDEAS

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    1. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    2. Howard, Charles T. & D'Antonio, Louis J., 1984. "A Risk-Return Measure of Hedging Effectiveness," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 19(1), pages 101-112, March.
    3. Dan J. Laughhunn & John W. Payne & Roy Crum, 1980. "Managerial Risk Preferences for Below-Target Returns," Management Science, INFORMS, vol. 26(12), pages 1238-1249, December.
    4. Fishburn, Peter C, 1977. "Mean-Risk Analysis with Risk Associated with Below-Target Returns," American Economic Review, American Economic Association, vol. 67(2), pages 116-126, March.
    5. Jack S. K. Chang & Latha Shanker, 1986. "Hedging effectiveness of currency options and currency futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 6(2), pages 289-305, June.
    6. Howard, Charles T. & D'Antonio, Louis J., 1987. "A Risk-Return Measure of Hedging Effectiveness: A Reply," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(3), pages 377-381, September.
    7. 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.
    8. Chang, Jack S. K. & Shanker, Latha, 1987. "A Risk-Return Measure of Hedging Effectiveness: A Comment," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(3), pages 373-376, September.
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    Cited by:

    1. Ahmad Bash & Abdullah M. Al-Awadhi & Fouad Jamaani, 2016. "Measuring the Hedge Ratio: A GCC Perspective," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 8(7), pages 1-1, July.

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