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- W2786019235 abstract "Hedging strategies in the commodity futures market is strongly influenced by the estimation method of hedge ratio. This study examines the effectiveness of hedging strategy against cash position in Indonesia’s palm oil spot market using three hedge ratio estimation methods: OLS, Vector Error Correction Model, and Threshold-ARCH. The results show the hedging effectiveness in the Jakarta Futures Exchange is considerably highly effective to reduce the impact of fluctuations of spot price. The effectiveness of hedging strategy using OLS as the simplest method is close to VECM method and TARCH. The effectiveness of hedging strategy using OLS hedge ratio provides an opportunity for market player in implementing hedging strategy in Jakarta Futures Exchange due to its simplicity in estimation procedure Keywords: hedge ratio, hedging effectiveness, OLS, VECM, TARCH" @default.
- W2786019235 created "2018-02-23" @default.
- W2786019235 creator A5046706166 @default.
- W2786019235 date "2017-11-25" @default.
- W2786019235 modified "2023-09-23" @default.
- W2786019235 title "Uji Empirik Metode Pengukuran Hedging Ratio dan Efektivitas Hedging di Bursa Komoditas Berjangka Jakarta" @default.
- W2786019235 doi "https://doi.org/10.17358/jma.14.3.284" @default.
- W2786019235 hasPublicationYear "2017" @default.
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