دانلود مقاله ISI انگلیسی شماره 94434
کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
94434 2017 56 صفحه PDF سفارش دهید 14905 کلمه
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عنوان انگلیسی
Hedging and speculative pressures and the transition of the spot-futures relationship in energy and metal markets
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : International Review of Financial Analysis, Volume 54, November 2017, Pages 176-191

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چکیده انگلیسی

This paper examines the impact of hedging and speculative pressures on the transition of the spot-futures relationship in metal and energy markets. We build a Markov regime switching (MRS) model where hedging and speculative pressures affect the transition probabilities between a stronger and weaker spot-futures relationship. It is found that hedging pressure increases the likelihood of transition, i.e. destabilises the existing spot-futures relationship, while speculative pressure reduces it, i.e. stabilises the relationship, in the copper, crude oil and natural gas markets, but this effect is relatively weak in the silver and heating oil markets. We also examine whether these findings generate practical benefits by testing the hedging effectiveness of the minimum variance hedge ratios (MVH) derived from the MRS models with hedging and speculative pressures. A relatively strong reduction of the portfolio variance, hedger's utility and value at risk (VaR) is observed in the energy markets.

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