Proceedings of the 2022 International Conference on Economics, Smart Finance and Contemporary Trade (ESFCT 2022)

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Validity Test of Hedging of Chinese Live Pigs Futures

Analysis of Variance of Portfolio Based on Optimal Hedging Ratio

Authors
Baiji Ye1, *
1Department of Economics, Zhejiang University, Hangzhou, 523900, China
*Corresponding author. Email: 3190102250@zju.edu.cn
Corresponding Author
Baiji Ye
Available Online 27 December 2022.
DOI
10.2991/978-94-6463-052-7_129How to use a DOI?
Keywords
Pig futures; Hedging; Transfer price risk; Optimal hedging ratio
Abstract

In January 2021, live pig futures will be officially listed on China’s Dalian Commodity Exchange, aiming to reduce the price volatility risk of the pig industry and its related upstream and downstream enterprises. In order to examine the hog futures market since the extent of the transfer price risk function, the use of the live pig 2109 China dalian Commodity Exchange futures settlement price and wholesale price 20 provinces pigs data, using the mature of error correction model (ECM) to determine the pig the optimal hedging ratio of futures hedging transactions, Ederington’s method was used to quantify the effectiveness of pig futures hedging by using the variance of unhedged transactions and the percentage of variance change after hedged transactions. The results show that the price risk transfer ability of Chinese pig futures market is weak, and the effectiveness of price discovery, the consistency of the combination of the future and the present, and the ability to avoid the pig cycle are still important factors affecting the hedging efficiency.

Copyright
© 2022 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 2022 International Conference on Economics, Smart Finance and Contemporary Trade (ESFCT 2022)
Series
Advances in Economics, Business and Management Research
Publication Date
27 December 2022
ISBN
978-94-6463-052-7
ISSN
2352-5428
DOI
10.2991/978-94-6463-052-7_129How to use a DOI?
Copyright
© 2022 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Baiji Ye
PY  - 2022
DA  - 2022/12/27
TI  - Validity Test of Hedging of Chinese Live Pigs Futures
BT  - Proceedings of the 2022 International Conference on Economics, Smart Finance and Contemporary Trade (ESFCT 2022)
PB  - Atlantis Press
SP  - 1149
EP  - 1160
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-052-7_129
DO  - 10.2991/978-94-6463-052-7_129
ID  - Ye2022
ER  -