The hedge effectiveness of future corn contracts at BM&F: an application for Maringá area, Paraná State

Authors

  • Julyerme Matheus Tonin Universidade Federal de Viçosa
  • Marcelo José Braga Universidade Federal de Viçosa
  • Alexandre Bragança Coelho Universidade Federal de Viçosa

DOI:

https://doi.org/10.5380/re.v35i1.17053

Keywords:

mercados futuros, razão ótima, efetividade de hedge.

Abstract

This article aims to examine the relationship between futures andspot corn prices in the Maringá area. In order to verify the relationship amongprices, the Granger test of causality was used and also the co-integration test itwas used to evaluate if a relationship long term exists among those two variables.The hedge effectiveness and the optimal hedge ratio was made calculations to the hedgers in the Maringá area. The data was period of November, 1996 toNovember, 2007. A bi-causal relationship was verified between the analyzedseries and the existence of a relationship of long term between variables. It wasalso confirmed that the hedge effectiveness is low in that area although it is aviable mechanism, to guarantee to participants of the chain of the corn minorrisks and losses.

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How to Cite

Tonin, J. M., Braga, M. J., & Coelho, A. B. (2009). The hedge effectiveness of future corn contracts at BM&F: an application for Maringá area, Paraná State. Revista De Economia, 35(1). https://doi.org/10.5380/re.v35i1.17053

Issue

Vol. 35 No. 1 (2009)

Section

Artigos

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