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Study on Chinese Agricultural Futures Hedging Performance of Low Level

Author: DanXinChuang
Tutor: QiuYan
School: Southwestern University of Finance and Economics
Course: Rural and Regional Development
Keywords: Agricultural futures Hedging Performance
CLC: F724.5
Type: Master's thesis
Year: 2013
Downloads: 91
Quote: 0
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Abstract


In recent years, domestic and international economic situation is complicated. agricultural prices often appeared more substantial fluctuations in a short period of time than usual, more and more enterprises desire to hedge the risk of price fluctuation of agricultural products through the futures market, but it is still in doubt that whether the domestic agricultural futures market can play its normal functions in hedging or not. Now many scholars have studied the hedging effect of agricultural futures market, however, they put main energy in the search for the optimal hedging model, without considering the actual situation in the current agricultural futures market in China. Therefore, the purpose of this paper is not to compare models, but to analysis of the level of performance constraints of Chinese agricultural futures market, and put forward some suggestions for the development of agricultural futures market.At first, this paper summarizes the theory of futures market performance, and combs the theory of hedging in the development of several periods. Then briefly introduces the situation of the development of Chinese agricultural futures market, three representative futures varieties--soybean, wheat and corn future are chosen from agricultural futures market in the empirical section. The least-squares regression model is used to solve their optimal hedging ratios, and test the levels of their hedging performance.After the agricultural futures market performance levels are verified in this paper, the hedging performance is analyzed from three main aspects of the factors, The first problem is peculiar to Chinese agricultural futures market position distribution. Some institutional constraints of futures market make active trading and liquid futures contracts mainly focus on far month, but the futures contracts close to the delivery month are not active. Hedging market participants mostly choose to take positions on far month contracts, so the special position distribution of the agricultural futures market damages the hedging performance. Secondly, the market participants have their own limitations. Many futures market participants are lack of hedging experience and have speculative motives, which makes the futures market more confused. In addition, the structure of domestic futures market participants is unreasonable. Insufficient diversity of participants for futures market is not beneficial to the function of price discovery, and thus affect the improvement the hedge performance. Thirdly, market trading environment plays an important roles in impacting hedging performance. At present there are15kinds of agricultural futures in domestic. Such few species objectively restrict the demand of hedgers. In addition, the lag of domestic futures information construction and influent information transferring do harm to the function of the futures market. So far, domestic options market of agricultural products has not been established, and options trading which are less cost and more convenient and flexible can enlarge the scale of hedge participants, make the enterprises which have poor finance participate the hedging market. So the establishment of the options market for agricultural products promotes the development of agricultural futures market.

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CLC: > Economic > Trade and Economic > China's domestic trade and economic > Circulation of commodities > Futures Trading
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