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Risikominderung durch Terminkontraktmärkte. Empirische Evidenz für sogenannte „Kernrohstoffe“
Sell, Friedrich L. | Schmidt, Felix
Journal of Contextual Economics – Schmollers Jahrbuch, Vol. 105 (1985), Iss. 4 : pp. 481–505
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Sell, Friedrich L.
Schmidt, Felix
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Abstract
Whereas the relevant literature deals in the main with the so-called Jorecasting efficiency, the authors present for further discussion the idea of risk avoidance efficiency which is less sophisticated but may be of more relevance for developing countries. Risk avoidance efficiency is realized, if spot and futures prices change parallel and Short(Long-)Hedgers can assure fully their risk of price variability. The importance of both efficiency forms consists in that efficient markets can have a stabilizing influence on the spot price evolution. A risk avoidance efficiency test has been made for eight commodities for a period covering 20 quarters (1979-1983); the data have been collected from LME and LCE. The results achieved do confirm the impression that commodity exporting developing countries might profit by making strengthly use of the possibilities of futures markets in the future