Název: Hedge Effectiveness in Copper Futures Market: Case study for "Erdenet" Mining Co.Ltd in Mongolia
Překlad názvu: Hedge Effectiveness in Copper Futures Market: Case study for "Erdenet" Mining Co.Ltd in Mongolia
Autoři: Khurelbaatar, Baigali ; Krištoufek, Ladislav (vedoucí práce) ; Serdarevič, Goran (oponent)
Typ dokumentu: Diplomové práce
Rok: 2015
Jazyk: eng
Abstrakt: 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)
Klíčová slova: Commodity market; Futures pricing; Hedge Ratio; Market efficiency; Commodity market; Futures pricing; Hedge Ratio; Market efficiency

Instituce: Fakulty UK (VŠKP) (web)
Informace o dostupnosti dokumentu: Dostupné v digitálním repozitáři UK.
Původní záznam: http://hdl.handle.net/20.500.11956/70398

Trvalý odkaz NUŠL: http://www.nusl.cz/ntk/nusl-339524


Záznam je zařazen do těchto sbírek:
Školství > Veřejné vysoké školy > Univerzita Karlova > Fakulty UK (VŠKP)
Vysokoškolské kvalifikační práce > Diplomové práce