Study On The Hedging Scheme Of Apple Futures In China

China is a big agricultural country,and also a big supplier and consumer market of apple.Since 2010,apple consumption has been ranked the first of the world.In recent years,the price of apple has continued to fluctuate widely.Enterprises are exposed to risks and their interests cannot be guaranteed.Hedging is an important risk management tool of futures market.The study on the hedging scheme of apple futures cannot only provide new ideas for the apple industry to avoid price risk in practical,but also guide them to participate reasonably in the futures market.Based on the condition of minimizing variance,this paper estimates and analysis the optimal hedging ratio through using specific month contracts period and models.Futures contracts is selected in the first month,the second month and the third month after delivery month,which have strong correlation with spot price.The model adopts classical OLS,ECM and ECM-BGARCH to make comparative analysis,which ensures the reliability and practicability of the scheme.This paper also introduces the specific process,design elements and implementation of hedging scheme,in order to stable price in apple industry chain.The results of this study shows that the apple industry is under greater risks,and it is necessary to participate hedging.There are tight relationship between apple spot and futures price,which is suitable for enterprise to participate in hedging.The optimal hedging ratio is different from the months of contract or models.By comparing the portfolio performance,vary models and contract performance are different.Comparing the optimal hedge ratio with the traditional 1:1 hedge ratio,the performance is better.On the selection of contract,the choice of the second month contract after delivery is better than that of the first and third contracts after the month of delivery.Through comparing the model,the ECM-BGARCH model performs better.In the view of the development of domestic futures market and the participation of agricultural enterprises in hedging,this paper also provides further suggestions on improving the futures market function infrastructure,strengthening the futures market function cultivation and supporting the appropriate scale of agricultural management.This paper also analyzes and studies the market participants' participation in futures hedging related issues on more traditional futures instruments.