Hedging foreign exchange rate risk using currency futures: A case of Kenyan multinational firms

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dc.contributor.authorMururu, Brenda Mwendwa
dc.date.accessioned2017-09-04T10:47:44Z
dc.date.available2017-09-04T10:47:44Z
dc.date.issued2017
dc.descriptionA Research project Submitted in partial fulfillment of the requirements for the degree of Bachelor of Business Science in Financial Economics at Strathmore Universityen_US
dc.description.abstractCurrency futures contracts can be used in hedging exchange rate risk for firms. This study estimates the appropriate futures price that Kenyan multinational firms would have used during the year 2015 when the Kenya Shilling depreciated significantly relative to the US Dollar. The study also estimates the optimal hedge ratio for the two futures contracts based on simulated futures prices from historical exchange rates. The firms included in the sample are; NIC Bank, Britam, Equity Holdings, KCB Bank Group and Jubilee Holdings. The countries considered for the subsidiaries of these firms are Tanzania and Uganda. The results from the study reveal that the futures contract would have helped minimize the losses incurred by these firms during that period since the futures price at the beginning of the year is less than the spot exchange rate at the end of the year which the firms use to translate their financial statements. The hedging strategy using the futures contracts is also seen to be effective based on the R-squared values from the Ordinary Least Squares method used to obtain the optimal hedge ratios.en_US
dc.identifier.urihttp://hdl.handle.net/11071/5384
dc.language.isoenen_US
dc.publisherStrathmore Universityen_US
dc.subjectForeign exchange rateen_US
dc.subjectHedgingen_US
dc.subjectFutures pricesen_US
dc.titleHedging foreign exchange rate risk using currency futures: A case of Kenyan multinational firmsen_US
dc.typeProjecten_US
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