Using derivatives in major currencies for cross-hedging currency risks in asian emerging markets

Journal of Futures Markets

Volumn 17, Issue 7, 1997, Pages 781-796

  Aggarwal, Raj ^a   Demaskey, Andrea L ^b  

^a JOHN CARROLL UNIVERSITY   (United States)

^b VILLANOVA UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0031511574     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/(SICI)1096-9934(199710)17:7<781::AID-FUT3>3.0.CO;2-J     Document Type: Article

References (12)

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2. Aggarwal, Raj, and Mougoue, Mbodja (1996): "Cointegration among Asian Currencies: Evidence of the Increasing Influence of the Japanese Yen," Japan and the World Economy, 8(3):291-308.
3. Anderson, Ronald W., and Danthine, Jean-Pierre (1981): "Cross Hedging," Journal of Political Economy, 89(6):1182-1196.
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6. Divecha, Arjun, Drach, Jaime, and Stefek, Dan (1992): "Emerging Markets: A Quantitative Perspective," Journal of Portfolio Management, 19(1):41-56.
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8. Ederington, Louis (1979): "The Hedging Performance of the New Futures Markets," Journal of Finance, 34(1):157-170.
9. Elam, Emmett W., Miller, Stephen E., and Holder, Shelby H. (1986): "Simple and Multiple Cross-Hedging of Rice Bran," Southern Journal of Agricultural Economics, 18(1):123-128.
10. Perold, Andre F., and Schulman, Evan C. (1988): "The Free Lunch in Currency Hedging: Implications for Investment Policy," Financial Analysts Journal, 44(3):
11. Quirk, Peter J., and Schoofs, Viktor (1988): "Forward Foreign Exchange Markets in LDCs," Finance and Development (3):36-39.
12. Weigel, Eric J. (1993): "Are There Really Trends in Foreign Exchange Returns," Journal of Investing, 2(2):33-40.