文章基本信息

标题：CROSS-HEDGING COTTONSEED MEAL
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作者：Rahman, Shaikh Mahfuzur ; Turner, Steven C. ; Costa, Ecio de Farias 等
期刊名称：Journal of Food Distribution Research
印刷版ISSN：0047-245X
出版年度：2000
期号：SUPPL
出版社：Food Distribution Research Society
摘要：This study examines the feasibility of cross-hedging cottonseed meal with soybean meal futures. The Bayesian tests for market efficiency on the cash and futures price data soundly rejects the presence of nonstationary root. The simple linear regression of cottonseed meal cash prices on soybean meal futures provides a direct price movement relationship. Using the estimated hedge-ratios, the net realized prices are calculated for seven different cash markets. The net realized prices exhibit risk efficiency superior to cash pricing. The empirical analyses suggest that soybean meal futures can be used as a potential cross-hedging vehicle for cottonseed meal.