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A Study on the Impact of Investor Confidence on Optimal Hedge Ratio

Author: GuGong
Tutor: WangXiangYang
School: Huazhong University of Science and Technology
Course: Business management
Keywords: Commodity futures Hedging Hedge ratio Investor Confidence
CLC: F713.35
Type: Master's thesis
Year: 2010
Downloads: 23
Quote: 0
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Abstract


Price discovery and hedging are the two basic functions of futures markets, but also the inherent power of futures markets development. Hedging is to avoid or transfer risk to the spot price change as a way designed to lock in profits and control risk. Hedging and speculation generally considered to be obvious differences. Hedging is to avoid the risks of the spot price changes, but speculative is to make a profit. However, in reality, hedgers will also change their hedging positions according to their judgments and risk appetite. That is, hedgers will consider some of the speculation factors when they are making hedging decisions.The main issue of hedging is to select an appropriate hedge ratio. Through analysis and comparison of several traditional model of the optimal hedge ratio, we choose a suitable model, and add a speculation factor to construct a new theoretical model. By derivation, we will analysis the impact of this factor on the hedging decision-making. Finally, we will do empirical research and analysis the impact of speculation factor to the empirical results.In summary, the hedging behavior in the futures markets are systematically studied through academic and empirical analysis methods. This paper enhances the understanding of hedging behavior. It will help hedgers making appropriate decisions.

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CLC: > Economic > Trade and Economic > Domestic Trade and Economic > The circulation of commodities and the market > Sale of goods > Futures Trading
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