Empirical Research Of The Hedging Effectiveness Of Soybean Meal Futures

As the structure of China's financial market gets consummate, the futures market played an important role in stabilizing the financial markets, establishing and developing new financial products in the domestic market. Economic globalization has contributed to the strong impact to domestic agricultural prices from the international market, while it made many agricultural products enterprises in China face enormous price risk. Take reasonable hedging transactions is a more efficient way to deal with this instance. The Soybean meal becomes the very object of demonstration research of the hedging theory, Provide bean products processing enterprises a theoretical basis for the implementation of hedging.On the base of briefly introduction of the theory of the Futures Exchange.This paper uses the data of soybean meal futures, between January 2001 to November 2009, provided by Dalian Commodity Exchange. Analysis is divided into three parts, deal data with the moving average method in the validity and do a descriptive statistical analysis in the first part. Than, estimate the hedging rtates using three models at different levels and limit levels of risk aversion in the second part. the hedging effectiveness has been assessed, using two utility functions that one includes the transaction costs while the other not in the third part, the article finally obtained the following conclusions:After the treatment of effectiveness to the data, the hedging ratios are calculated by there econometric models in different levels of time limit, meanwhile evaluate the utility of the hedging ratios by two utility functions that one includes the transaction costs while the other not. Finally, paper gets these results as followed:1. The residuals obtained by OLS model do not have the normality and heteroscedasticity, also do not have significant correlation, thus the hedge ratio obtained by the OLS model is not necessarily unbiased.2. By the Granger test results, after moving average and differential treatment, there is causal relationship between the data, the hedge ratio estimated by B-VAR model is to be reasonable and credible.3. By the ADF test and cointegration test, the treated spot prices and the futures price of 2 months,4 months period exist the relationship of cointegration, but the futures price of 6-month period dose not. 4. The paper evaluate the hedge ratios got from the regression by two utility functions that one includes transaction costs while the other dose not. The result show that:if the utility function includes the transaction costs, the shorter the duration of the futures price in a single period, the higher the correlation between futures price and spot price, so the effectiveness of hedging will be better. However, when the utility function include the transaction costs, the effectiveness will be better to use the long-term futures price than short-term futures price.Innovation of the paper:1st, an article on the study of soybean meal futures with the integration of the different types of the period, different models and different risk factors measuring the effectiveness of test methods. Second, there are two utility functions that one includes the transaction costs while the other not. And the results were used in two forms were compared.