Rebar Futures Basis Characteristics and Analysis of its Effect on Hedging

Hong Liu; Shuang Sheng Wu

doi:10.4028/www.scientific.net/AMR.655-657.2220

Paper Titles

Explore the Sustainable Value of Bamboo during the Teaching of Materials and Technology of Product Design
p.2198

Discuss about Fast Response Performance of under-Damped Second-Order System in Time Domain
p.2202

Study on the Life Cycle Security Risks Management of Large-Scale Public Buildings
p.2209

Discussion of the Key Factors in Oil Spill Risk Prevention in Offshore Oilfield Development
p.2216

Rebar Futures Basis Characteristics and Analysis of its Effect on Hedging
p.2220

Competency Models Utilization in Industrial Enterprises
p.2226

Process Analysis of Construction Quality Management System for Water Project Based on Dissipative Structure Theory
p.2230

Research on Competition Strategy Choice of Real-State Quality Based on Hierarchy-Fuzzy Decision Method
p.2235

The Contribution Analysis of Science and Technology Service Industry of Liaoning to Manufacturing Industry - Based on Clustering Analysis on Direct Consumption Coefficient
p.2242

HomeAdvanced Materials ResearchAdvanced Materials Research Vols. 655-657Rebar Futures Basis Characteristics and Analysis...

Rebar Futures Basis Characteristics and Analysis of its Effect on Hedging

Abstract:

the China rebar futures contract position substantially transfer cross period, and basis is often larger and has large volatility, It has great effect on the hedging, and result in larger basis risk. This paper uses data from futures and spot market, on the positions and the basis for empirical analysis, and explores the regular pattern of changes in the position and basis. On this basis, it analyzes the traditional hedging risk with simulation, and estimates the optimal hedge ratios.

You might also be interested in these eBooks

Engineering Solutions for Manufacturing Processes

View Preview

Info:

Periodical:

Advanced Materials Research (Volumes 655-657)

Pages:

2220-2225

DOI:

https://doi.org/10.4028/www.scientific.net/AMR.655-657.2220

Citation:

Cite this paper

Online since:

January 2013

Authors:

Hong Liu, Shuang Sheng Wu

Keywords:

Basis, Hedge Ratio, Rebar Futures

Export:

RIS, BibTeX

Price:

Permissions CCC:

Request Permissions

Permissions PLS:

Request Permissions

Сopyright:

Citation:

References

[1] Working Holbrooke. New concepts concerning futures markers and prices, American Economic Review, 1962, 52: 431-459.

Google Scholar

[2] Markowitz, H.M. Portfolio Selection, The Journal of Finance 1952, 7 : 77–91.

Google Scholar

[3] Zhu Guohua , Chu Juehai . Futures Investment - Theory and Practice [M]. Shanghai: Shanghai University of Finance and Economics Press . 2006: 162-163.

Google Scholar