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Garcia, Philip Fu, Luyang 2015-09-25T20:55:31Z 2015-09-25T20:55:31Z 10000-01-01 2002 2002 Essays two and three explore optimal hedging strategies within the mean-variance framework. In essay two, we examine the non-linear relationship between optimal hedge ratios and transaction fees under different market conditions (spot returns). In essay three, we extend the study by Working (1962) and examine the sensitivity of optimal hedging ratios to heterogeneous expectations. The empirical results in both papers indicate that the optimal hedging ratio is an increasing function of the spot return and the correlation between futures and spot prices. The studies identify that the optimal hedge ratios are relatively sensitive to transaction fees and heterogeneous expectations of futures returns particularly when the spot returns are low. In addition, the optimal transaction fee, which maximizes the revenue of futures exchanges, is derived in essay two. The results reveal that futures exchanges should consider adjusting transaction fees in accordance to the spot returns, and that improving the hedging effectiveness may enhance the revenue of the exchange by providing an opportunity to increase transaction fees. Made available in DSpace on 2015-09-25T20:55:31Z (GMT). No. of bitstreams: 2 license.txt: 4848 bytes, checksum: 96035ab3f5e1c23cc7138a224ce498bd (MD5) 3069994.pdf: 3806379 bytes, checksum: dea7b58f4cd227936c8ada6e2b8bfeea (MD5) Previous issue date: 2002 Embargo set by: Seth Robbins for item 84238 Lift date: Forever Reason: Restricted to the U of I community idenfinitely during batch ingest of legacy ETDs Restricted to the U of I community idenfinitely during batch ingest of legacy ETDs U of I Only 92 p. Thesis (Ph.D.)--University of Illinois at Urbana-Champaign, 2002. http://hdl.handle.net/2142/82957 (MiAaPQ)AAI3069994 eng Economics, Agricultural Three Essays on Futures Markets text Agricultural and Consumer Economics Agricultural and Consumer Economics University of Illinois at Urbana-Champaign Dissertation Ph.D.