Hedge Effectiveness for Western Australia Crops

Zhibo Guo, Ben White and Amin Mugera ()

No 152154, 2013 Conference (57th), February 5-8, 2013, Sydney, Australia from Australian Agricultural and Resource Economics Society

Abstract: This paper reports a series of pre-trade investigations into the hedge effectiveness of futures contracts of wheat, barley, and canola for Western Australia hedgers. Hedge ratios were estimated through the ordinary least square model, the vector autoregressive model, and the vector error-correction model. Hedging effectiveness was measured using risk reduction method and utility maximization method. Results indicate that, despite being thinly traded contracts, futures on Australia Securities Exchange are more effective in wheat, barley, and canola in terms of price risks minimization and utility maximization, comparing with futures contracts on Chicago Board of Trade and Intercontinental Exchange. Results suggest that using the local exchange is more efficient in risk management.

Keywords: Crop Production/Industries; International Relations/Trade; Research Methods/Statistical Methods (search for similar items in EconPapers)
Pages: 19
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://ageconsearch.umn.edu/record/152154/files/CP%20Guo.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ags:aare13:152154

DOI: 10.22004/ag.econ.152154

Access Statistics for this paper

More papers in 2013 Conference (57th), February 5-8, 2013, Sydney, Australia from Australian Agricultural and Resource Economics Society Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().