Optimal hedge ratio and the hedging performance of commodity futures: the case of Malaysian crude palm oil futures market

• Main Author: Islam, Mohd Aminul
• Format: Article
• Language: English
• Published: Euro Asia Research and Development Association EARDA 2017
• Subjects: HG4001 Financial management. Business finance. Corporation finance.; HG4501 Stocks, investment, speculation
• Online Access: http://irep.iium.edu.my/60400/1/Published_IJRFM.pdf; http://irep.iium.edu.my/60400/; http://euroasiapub.org/category/ijrfm/past-ijrfm/volume-7-issue-10-ijrfm-october-2017/
• Institution: Universiti Islam Antarabangsa Malaysia

This paper aims to examine the hedging performance of the crude palm Oil futures Market in Malaysia. The optimal hedge ratios and the hedging performance are examined for two different futures contracts denoted as futures 1 and futures 2 using daily settlement prices from January 4, 2010 to October...