Research On Hedging Scheme Design Of ZTWM Steel Future

On May 22,2020,the "Two new and one heavy" construction was first proposed in the Government Work Report.The construction of new infrastructure,new urbanization and major transportation and water conservancy projects have been concentrated,and the traditional infrastructure,mainly rail transit,has become a key construction project in various regions.Steel is an indispensable building structural material in engineering projects.Due to the change of national policies such as capacity reduction,environmental protection and supply and demand relations,the price of steel is unstable,fluctuates violently and frequently,which may bring inconvenience and risk to the operation and management of steel trading companies.In this paper,ZTWM company,whose main business is material trade,is selected as an example to design and study the hedging scheme.First of all,on the basis of cost control theory and hedging theory,this paper reviews and overviews the research status of domestic and foreign scholars on the price relationship between futures market and spot market,the role of enterprise hedging,steel price prediction and hedging ratio model,which provides theoretical support for the hedging scheme design of ZTWM company in the following paper.Secondly,from the perspective of the company,based on the steel procurement business process,it analyzes the use of steel and raw material cost of the parent company,which indirectly analyzes the steel procurement status and procurement cost of ZTWM Company,finds out the shortcomings of ZTWM company’s current raw material price risk management methods,and leads to the feasibility and necessity of the company’s rebar futures hedging.Then,the paper studies the hedging scheme of rebar futures,expounds the reasons why the company chooses rebar as the target for hedging,and predicts that the future price of rebar spot has a rising trend by using ARIMA model.Then,OLS model and ECM model,two static hedging models,are selected to test and regression the historical price data of rebar spot and futures in the past three months.The optimal hedging ratio is obtained through risk performance analysis,and the opening and stop loss strategy of rebar futures hedging is briefly discussed.Finally,through the simulation of specific rebar futures hedging scheme and operation,the cost saving effect is analyzed,and put forward some suggestions for the company to carry out futures hedging.The above research and analysis draw the following conclusions: First,for steel trading companies and other steel related enterprises,hedging with rebar futures can avoid the risk of price fluctuations and control the procurement cost of raw materials.Second,the ARIMA model can predict the price of rebar in the short term.Third,based on shortterm historical data,OLS model can be selected to estimate the hedging ratio.