This study compares the hedging effects of Japanese yen futures trading in the KRX and the CME. The hedging effects are measured in terms of mean and variance of the returns of hedging program. According to the empirical results, the means of returns ...
This study compares the hedging effects of Japanese yen futures trading in the KRX and the CME. The hedging effects are measured in terms of mean and variance of the returns of hedging program. According to the empirical results, the means of returns using the KRX yen futures turn out to be higher than those of the CME yen futures, but the results are not statistically significant. In the aspect of the hedging effectiveness, the KRX yen futures are superior to the CME ones, and the statistical test supports the significance of the results.