A Cross Hedging Study On Agricultural Futures Market

The emergence of futures market accelerates the process of the agricultural globalization. Aschina's agricultural reform is deepening, domestic agricultural enterprises and farmers have toface a fact global market competition. Therefore, It's necessary for them to use financial derivativeinstruments to manage the risks caused by price fluctuation. Meanwhile, the contracts ofderivative market differ from the objects of hedging, which causes great inconvenience to hedger.In this essay, in view of the reality of domestic enterprises, the author uses the linear regression ofFinancial engineering to conducts an analysis of the price trend of DCE soybean, CBOT soymealand domestic soymeal, The main purposes of the this paper is to study the feasibility of crosshedging and to decide the hedge ratios. The author also analyses the risks involved in the processof hedging, in order that the article may bring some ideas to chinese enterprises involved inhedging.