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The European Journal of Finance Volume 18, 2012 - Issue 6
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Original Articles

Better cross hedges with composite hedging? Hedging equity portfolios using financial and commodity futures

Fei Chen The ICMA Centre, University of Reading, PO Box 242, Reading, RG6 6BA, UK
&
Charles Sutcliffe The ICMA Centre, University of Reading, PO Box 242, Reading, RG6 6BA, UKCorrespondence[email protected]
Pages 575-595 | Received 28 Aug 2011, Accepted 30 Aug 2011, Published online: 11 Oct 2011

Citations (24)

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Read on this site (2)

Xiaolin Sun, Hailong Liu, Shiyuan Zheng & Shun Chen. (2018) Combination hedging strategies for crude oil and dry bulk freight rates on the impacts of dynamic cross-market interaction. Maritime Policy & Management 45:2, pages 174-196.
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Thomas Conlon, John Cotter & Ramazan Gençay. (2016) Commodity futures hedging, risk aversion and the hedging horizon. The European Journal of Finance 22:15, pages 1534-1560.
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Articles from other publishers (22)

Min Cao & Thomas Conlon. (2023) Composite jet fuel cross-hedging. Journal of Commodity Markets 30, pages 100271.
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Dony Abdul Chalid & Rangga Handika. (2022) Commodity hedging benefits: analyses among different financial assets. Journal of Economic Studies 50:2, pages 109-128.
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Tingting Tian, Kee-hung Lai & Christina W.Y. Wong. (2022) Connectedness mechanisms in the “Carbon-Commodity-Finance” system: Investment and management policy implications for emerging economies. Energy Policy 169, pages 113195.
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Ismael Pérez-Franco, Esteban Otto Thomasz, Gonzalo Rondinone & Agustín García-García. (2022) Feed price risk management for sheep production in Spain: a composite future cross-hedging strategy. Risk Management 24:2, pages 137-163.
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Artur Semeyutin & Gareth Downing. (2022) Co-jumps in the U.S. interest rates and precious metals markets and their implications for investors. International Review of Financial Analysis 81, pages 102078.
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Yun Feng & Yan Cui. (2020) Dual and single hedging strategy: a novel comparison from the direct and cross hedging perspective. China Finance Review International 12:1, pages 161-179.
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Aikaterini (Katerina) Tsoukala & Georgios Tsiotas. (2021) Assessing green bond risk: an empirical investigation. Green Finance 3:2, pages 222-252.
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Song-Zan Chiou-Wei, Sheng-Hung Chen & Zhen Zhu. (2020) Natural gas price, market fundamentals and hedging effectiveness. The Quarterly Review of Economics and Finance 78, pages 321-337.
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Jiayu Jin, Liyan Han, Lei Wu & Hongchao Zeng. (2020) The hedging effect of green bonds on carbon market risk. International Review of Financial Analysis 71, pages 101509.
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Yan Cui & Yun Feng. (2020) Composite hedge and utility maximization for optimal futures hedging. International Review of Economics & Finance 68, pages 15-32.
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Liyan Han, Jiayu Jin, Lei Wu & Hongchao Zeng. (2020) The volatility linkage between energy and agricultural futures markets with external shocks. International Review of Financial Analysis 68, pages 101317.
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Benjamin Cheng, Christina Sklibosios Nikitopoulos & Erik Schlögl. (2018) Interest rate risk in long‐dated commodity options positions: To hedge or not to hedge?. Journal of Futures Markets 39:1, pages 109-127.
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Boonlert Jitmaneeroj. (2018) The effect of the rebalancing horizon on the tradeoff between hedging effectiveness and transaction costs. International Review of Economics & Finance 58, pages 282-298.
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Zura Kakushadze & Juan Andrés SerurZura Kakushadze & Juan Andrés Serur. 2018. 151 Trading Strategies. 151 Trading Strategies 165 179 .
Jim Hanly, Lucia Morales & Damien Cassells. (2018) The efficacy of financial futures as a hedging tool in electricity markets. International Journal of Finance & Economics 23:1, pages 29-40.
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Wolfgang Bessler, Alexander Leonhardt & Dominik Wolff. (2016) Analyzing hedging strategies for fixed income portfolios: A Bayesian approach for model selection. International Review of Financial Analysis 46, pages 239-256.
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Wolfgang Bessler & Dominik Wolff. (2014) Hedging European government bond portfolios during the recent sovereign debt crisis. Journal of International Financial Markets, Institutions and Money 33, pages 379-399.
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. (2013) B: Financial Instruments and Markets. World Banking Abstracts 29:5, pages 324-331.
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Jan Koeman & Jedrzej Pawel Bialkowski. (2015) Cross-Hedging on the Milk-Derived Product Market. SSRN Electronic Journal.
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Wolfgang Bessler, Alexander Leonhardt & Dominik Wolff. (2014) Analyzing Hedging Strategies for Fixed Income Portfolios: A Bayesian Approach for Model Selection. SSRN Electronic Journal.
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Thomas Conlon, John Cotter & Ramazan Gencay. (2012) Commodity Futures Hedging, Risk Aversion and the Hedging Horizon. SSRN Electronic Journal.
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Wolfgang Bessler & Dominik Wolff. (2012) Hedging European Government Bond Portfolios During the Sovereign Debt Crisis. SSRN Electronic Journal.
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