Hedge Effectiveness in Copper Futures Market: Case study for "Erdenet" Mining Co.Ltd in Mongolia
| Název práce v češtině: | Hedge Effectiveness in Copper Futures Market: Case study for "Erdenet" Mining Co.Ltd in Mongolia |
|---|---|
| Název v anglickém jazyce: | Hedge Effectiveness in Copper Futures Market: Case study for "Erdenet" Mining Co.Ltd in Mongolia |
| Klíčová slova: | Commodity market, Futures pricing, Market efficiency, Hedge Ratio |
| Klíčová slova anglicky: | Commodity market, Futures pricing, Market efficiency, Hedge Ratio |
| Akademický rok vypsání: | 2013/2014 |
| Typ práce: | diplomová práce |
| Jazyk práce: | angličtina |
| Ústav: | Institut ekonomických studií (23-IES) |
| Vedoucí / školitel: | prof. PhDr. Ladislav Krištoufek, Ph.D. |
| Řešitel: | skrytý - zadáno vedoucím/školitelem |
| Datum přihlášení: | 21.06.2012 |
| Datum zadání: | 10.02.2014 |
| Datum a čas obhajoby: | 23.06.2015 00:00 |
| Místo konání obhajoby: | IES |
| Datum odevzdání elektronické podoby: | 14.05.2015 |
| Datum proběhlé obhajoby: | 23.06.2015 |
| Oponenti: | PhDr. Mgr. Goran Serdarevič, M.A. |
| Kontrola URKUND: | |
| Předběžná náplň práce |
| 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. |
| Předběžná náplň práce v anglickém jazyce |
| 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. |