海上運賃 先渡價格의 헤징效果 比較
Comparison of hedging effects of Freight Forward Assessment
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This study estimates the minimum variance hedge ratios of ocean freight forward prices, and investigates whether the hedging effects among the hedging instruments are significantly different. Based on the Bayesian approach using a Gibbs sampling, the posterior distributions for the differences of hedging effectiveness by instrument are derived, and the null hypothesis is tested by examining the characteristics of distributions. The sample is composed of the spot index and the next quarter forward assessments of the Baltic Exchange. The sample covers the period of 2006/1/2 to 2007/2/21. According to the empirical results, the hedge ratios and the hedging effectiveness of every hedging instrument generally increase as the hedging period expands. In addition, the differences among the hedging instruments in terms of hedging effectiveness turn out to be statistically significant.
Abstract
This study estimates the minimum variance hedge ratios of ocean freight forward prices, and investigates whether the hedging effects among the hedging instruments are significantly different. Based on the Bayesian approach using a Gibbs sampling, the posterior distributions for the differences of hedging effectiveness by instrument are derived, and the null hypothesis is tested by examining the characteristics of distributions. The sample is composed of the spot index and the next quarter forward assessments of the Baltic Exchange. The sample covers the period of 2006/1/2 to 2007/2/21. According to the empirical results, the hedge ratios and the hedging effectiveness of every hedging instrument generally increase as the hedging period expands. In addition, the differences among the hedging instruments in terms of hedging effectiveness turn out to be statistically significant.
참고문헌 (19)
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