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  • 2012 Summer: Volume 10, Issue 1
  • How Effective Are Foreign Currency Futures Markets As Hedging Vehicles?

    • Jeong W. Lee

    Title:

    How Effective Are Foreign Currency Futures Markets As Hedging Vehicles?

    Author(s):

    Jeong W. Lee

    Publication Date:

    2012

    Journal Title:

    The Journal of Finance Issues

    Volume Number:

    10

    Issue Number:

    1

    Abstract:

    In this paper, we investigate minimum risk hedges and hedging effectiveness measures for five currencies: Euro, Japanese yen, British pound, Swiss franc, and Canadian dollar. Analysis indicates the relative desirability of positions in futures contracts to minimize the risk of spot currency exposure. Among five currencies studied, Japanese yen proves the least hedging effectiveness across the time periods. Results also show hedging effectiveness increases with the investment horizon.

    First Page:

    113

    Last Page:

    118

    Total Pages:

    5