Original title: Hedge Effectiveness in Copper Futures Market: Case study for "Erdenet" Mining Co.Ltd in Mongolia
Translated title: Hedge Effectiveness in Copper Futures Market: Case study for "Erdenet" Mining Co.Ltd in Mongolia
Authors: Khurelbaatar, Baigali ; Krištoufek, Ladislav (advisor) ; Serdarevič, Goran (referee)
Document type: Master’s theses
Year: 2015
Language: eng
Abstract: The objective of the thesis is to analyze the copper futures market in London Metal Exchange (LME) and to recommend appropriate hedging strategy in copper futures market to the Erdenet Mining Corporation in Mongolia. It uses daily official settlement copper prices of LME in the spot and 3 month futures markets from 2000-2014. Initially, we use cointegration test and ECM to investigate the copper market efficiency. Then OLS, ECM, GARCH, EGARCH and ECM-GARCH models are employed to compute different optimum hedge ratios. Finally, the hedge effectiveness is measured based on minimization of the value of AIC and SBIC. Our result indicate that copper futures market is inefficient. Hedge effectiveness comparison concludes that ECM model gives the best hedging performance. However, ECM-GARCH is accounted to be the best model for hedging strategy since it captures the time-varying conditional heteroscedasticity to ECM model. Powered by TCPDF (www.tcpdf.org)
Keywords: Commodity market; Futures pricing; Hedge Ratio; Market efficiency; Commodity market; Futures pricing; Hedge Ratio; Market efficiency

Institution: Charles University Faculties (theses) (web)
Document availability information: Available in the Charles University Digital Repository.
Original record: http://hdl.handle.net/20.500.11956/70398

Permalink: http://www.nusl.cz/ntk/nusl-339524


The record appears in these collections:
Universities and colleges > Public universities > Charles University > Charles University Faculties (theses)
Academic theses (ETDs) > Master’s theses
 Record created 2017-06-19, last modified 2017-06-27


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