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Currency Hedging in Emerging Markets

Fjell, Magnus; Lund, Erik
Master thesis
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http://hdl.handle.net/11250/2621898
Utgivelsesdato
2019
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Samlinger
  • Master of Science [1525]
Sammendrag
We study the effectiveness of currency hedging in emerging markets, focusing on

portfolio performance employing both a minimum variance and a unitary hedging

strategy. The perception is that the currency in emerging markets experience

higher volatility than developed countries. We find that the minimum variance

hedge significantly reduces the portfolio standard deviation for all countries,

while the unitary hedge statistically increases portfolio standard deviation. We

also find that periods of financial distress may cause large outliers for some

countries. Implementing a conditional approach of the minimum variance hedge

manage to reduce the vulnerability to large interest rates and currency

fluctuations. We conclude that both applications of the minimum variance

strategies are beneficial for investors in the emerging markets we investigate.
Beskrivelse
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2019
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