This study suggests a complex hedge model for coal traders that simultaneously consider the risk factors of coal price. ocean freight rate and foreign exchange rate. In addition. it Quantitatively analyses the superiority of the complex hedge model compared to the conventional one in terms of return flow stabilization. According to the ex-post and the ex-ante empirical results, a separate hedge could stabilize the return flow‘ but this might not be the best solution. That is. a complex hedge would give a better result in terms of hedging effectiveness. Thus‘ one could improve hedging effects by fully considering the inherent variance-covariance relationship among multiple risk factors.
Yun, W.C. (2008), "Empirical Analysis on the Effectiveness of Complex hedging: The Case of Bituminous Coal Trading", Journal of Derivatives and Quantitative Studies: 선물연구, Vol. 16 No. 1, pp. 49-67. https://doi.org/10.1108/JDQS-01-2008-B0003
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