Research On PTA Futures Hedge Ratio Of JL Company

In recent years, enterprise’s survival environment has been more and more complex with intense market competition. How to use financial derivatives to avoid risks, which achieve sustained and stable development of enterprises have to face and deal with the problem. The PTA is one of the major chemical raw materials, price fluctuations of raw materials and products will lead directly to enterprise unstable. The manage of company will be affected by external conditions. Especially from2013, the chain has entered the downturn in many factors. Based on the analysis of the rational use of PTA futures, the enterprise can more control to PTA price fluctuation, ensure stable operation and sustainable development. In this thesis would proposed that PTA products factory how could use the minimum variance hedge ratio in future market with the low tide period state, which based on the traditional basis theory of hedgingPTA futures return series has apparent aggregation with a high rate of return after connected with higher income. And there is a peak obvious tail phenomenon. Hedging analysis by using futures data shows that the minimum variance hedging strategy can help the investors to reduce the loss income. The core problem of hedging in the minimum variance is how to determine the hedging ratio. The traditional hedge ratio often be used1:1, but this ratio can’t maximum reduce the risk. With the risk minimization method, the most reasonable hedge ratio obtained the best performance of0.421226of the OLS model through the analysis of OLS and ECM model for the years2012-2013futures and spot data.Using the most reasonable hedge ratio, PTA factory can make the enterprise to provide the reference for decision-making from the data, and would has a high practical significance through the minimize risk of hedge.