Empirical Study Of Soybean Futures Hedging

The trend of international soybean prices have a great effect on the domestic soybean prices increasingly, showing a volatile situation, China's soybean farmers and soybean processing companies often face huge price risk, so they urgently need to use future contracts for hedging. After experiencing two soybean storms, companies began considering hedging techniques as the risk management tools. Because of the lack of understanding the hedge ratio, the hedging effect can be imagined if those who determine the hedging position on felling rather than in-depth study.The main purpose of this study lies in guiding China's soybean processing companies and growers to solve business problems in the practice of hedging by studying the various exogenous variables to the hedge ratio and hedging effectiveness of hedging soybean. In view of this, combined with the development of China's soybean futures market, this paper studies the hedging strategies for soybean in a comprehensive and systematic way.First, regarding to the optimal choice of economic model of hedging, the paper shows that there are no obvious difference between the OLS model and other more complex economic models, so we adopt OLS regression analysis in the text; Secondly, this paper studies the impact of hedging period on the effectiveness of hedging and the impact of China's soybean hedging and verify whether there is a clear effect of the holding period; we often studies the impact of chose of the future contracts end on the hedging ratio; Finally, this paper adopts yearly regression and unit root test to testify the stability of hedge ratiosThe innovations are reflected in the following three aspects:studing the hedging strategy in a comprehensive and systematic way; the selected futures data are more close to the practices, eliminating the effect of duration effect; with previous studies, this paper not only adopt the unit root test to verify the time stability of the hedge ratio, but also the use of yearly regression way to observe the hedge ratio stability.