Efficiency of Hedging Against Fluctuating Prices of Dairy Products
This paper investigates hedging and cross-hedging internationally traded milk derivative products with internationally traded commodities, recently launched New Zealand dairy futures, New Zealand agricultural products, and mature United States dairy market futures. The contribution of the paper is t...
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Online Access: | https://ojs.aut.ac.nz/applied-finance-letters/article/view/27 |
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doaj-bc2839c9cfac47d9919890304b964b2f2020-11-25T02:29:38ZengTuwhera Open Access PublisherApplied Finance Letters2253-57992253-58022015-11-0141 & 210.24135/afl.v4i1and2.27Efficiency of Hedging Against Fluctuating Prices of Dairy ProductsJan Koeman0Jędrzej Białkowski1University of CanterburyUniversity of CanterburyThis paper investigates hedging and cross-hedging internationally traded milk derivative products with internationally traded commodities, recently launched New Zealand dairy futures, New Zealand agricultural products, and mature United States dairy market futures. The contribution of the paper is twofold. First, we show that international dairy commodities are a distinct commodities subgroup, as changes in prices of dairy products are uncorrelated with other worldwide traded commodities. Second, we show that New Zealand Stock Exchange dairy futures are an effective tool for hedging exposure to smaller size trades and may not necessarily be of large positions as required by cooperatives and multinationalshttps://ojs.aut.ac.nz/applied-finance-letters/article/view/27Agricultural commoditiesCME dairy futuresCross-hedgingDairyError Correction ModelNew Zealand Stock Exchange dairy futures |
collection |
DOAJ |
language |
English |
format |
Article |
sources |
DOAJ |
author |
Jan Koeman Jędrzej Białkowski |
spellingShingle |
Jan Koeman Jędrzej Białkowski Efficiency of Hedging Against Fluctuating Prices of Dairy Products Applied Finance Letters Agricultural commodities CME dairy futures Cross-hedging Dairy Error Correction Model New Zealand Stock Exchange dairy futures |
author_facet |
Jan Koeman Jędrzej Białkowski |
author_sort |
Jan Koeman |
title |
Efficiency of Hedging Against Fluctuating Prices of Dairy Products |
title_short |
Efficiency of Hedging Against Fluctuating Prices of Dairy Products |
title_full |
Efficiency of Hedging Against Fluctuating Prices of Dairy Products |
title_fullStr |
Efficiency of Hedging Against Fluctuating Prices of Dairy Products |
title_full_unstemmed |
Efficiency of Hedging Against Fluctuating Prices of Dairy Products |
title_sort |
efficiency of hedging against fluctuating prices of dairy products |
publisher |
Tuwhera Open Access Publisher |
series |
Applied Finance Letters |
issn |
2253-5799 2253-5802 |
publishDate |
2015-11-01 |
description |
This paper investigates hedging and cross-hedging internationally traded milk derivative products with internationally traded commodities, recently launched New Zealand dairy futures, New Zealand agricultural products, and mature United States dairy market futures. The contribution of the paper is twofold. First, we show that international dairy commodities are a distinct commodities subgroup, as changes in prices of dairy products are uncorrelated with other worldwide traded commodities. Second, we show that New Zealand Stock Exchange dairy futures are an effective tool for hedging exposure to smaller size trades and may not necessarily be of large positions as required by cooperatives and multinationals |
topic |
Agricultural commodities CME dairy futures Cross-hedging Dairy Error Correction Model New Zealand Stock Exchange dairy futures |
url |
https://ojs.aut.ac.nz/applied-finance-letters/article/view/27 |
work_keys_str_mv |
AT jankoeman efficiencyofhedgingagainstfluctuatingpricesofdairyproducts AT jedrzejbiałkowski efficiencyofhedgingagainstfluctuatingpricesofdairyproducts |
_version_ |
1724831845183389696 |