| The fundamental function of futures market is hedging, by which investors can utilize future contracts to manage risk, lower or transfer volatility risk of prices. The efficiency of futures market is in line with the performance appraisal of the hedging. At present, the empirical researches on future market hedging are mainly about the contracts of copper and aluminum, rare about agricultural products. In Chinese futures market, the trading volume on agricultural products which plays an important role in economy, accounts for 70% or above. Therefore, the research on the hedge ratio of futures of agricultural products and analysis from the aspect of performance appraisal of the hedging is essential. The soybean oil future contracts are dominate in trading volume and scale with high market efficiency, which is typical category to be studied.The paper is divided into 5 chapters:in chapter 1, we introduced the background, study purpose, review of literature and frames and methods; chapter 2 analyzes the principles and theories of hedging which are classified as well, and discussed the hedging ratio.Meanwhile before hedging, we should choose the strategy, so chapter 3 we introduced the complete hedging strategies, incomplete strategies and dynamic portfolio hedging and compared with each other. In chapter 4, we deduced the model and analyzed the hedging ratio and estimating model, and then introduced optimal hedging ration valuation model which is subject to categories of dynamic hedging. In chapter 5, empirical studies have been made on soybean oil contracts, where we choose the data ranged from June 11th 2009 to March 8th 2010, due to the volatility of basis risk, we choose dynamic portfolio hedging strategy and calculated the optimal hedging ratio based on Markowitz portfolio model. We concluded that given the least revenue variance of spot and future, the optimal hedging ratio can not be 1. We also bring in different risks in hedging and came up different strategies to avoid the risks. |
PDF Full Text Request