IDEAS home Printed from https://ideas.repec.org/a/bla/ajarec/v29y1985i3p199-209.html

Basis Risk And Hedging Strategies For Australian Wheat Exports

Author

Listed:
  • Gary E. Bond
  • Stanley R. Thompson
  • Jane M. Geldard

Abstract

Basis risk can play a significant role in the determination of effective hedging strategies. In this paper a portfolio framework is developed to examine the effect of basis risk on hedging strategies for Australian wheat exports. Monthly data for the period 1977 to 1984 were used to implement the analytical framework. While the traditional definition of hedging implies a hedge ratio of unity, the results of this research show that the average ratio of optimal hedge to stockholding is well below unity. Evolving market conditions can also cause the optimal hedge ratio to vary substantially over time.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Gary E. Bond & Stanley R. Thompson & Jane M. Geldard, 1985. "Basis Risk And Hedging Strategies For Australian Wheat Exports," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 29(3), pages 199-209, December.
    • Handle: RePEc:bla:ajarec:v:29:y:1985:i:3:p:199-209
    DOI: j.1467-8489.1985.tb00444.x
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1111/j.1467-8489.1985.tb00444.x
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/j.1467-8489.1985.tb00444.x?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to look for a different version below or

    for a different version of it.

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Simmons, Phil, 1999. "Does Separation Theorem Explain Why Farmers Have So Little Interest In Futures Markets?," Working Papers 12933, University of New England, School of Economics.
    2. Simmons, Phil & Rambaldi, Alicia N., 1997. "Potential demand for hedging by Australian wheat producers," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 41(2), pages 1-12.
    3. Prehn, Sören & Feil, Jan-Henning, "undated". "Why millers prefer to hedge at the KCBoT and grain elevator operators at the CBoT," 2017 International Congress, August 28-September 1, 2017, Parma, Italy 261262, European Association of Agricultural Economists.
    4. Blank, Steven C., 1989. "Research On Futures Markets: Issues, Approaches, And Empirical Findings," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 14(01), pages 1-14, July.
    5. Carter, Colin A., 1999. "Commodity futures markets: a survey," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 43(2), pages 1-39, June.
    6. Frechette, Darren L., 2000. "Hedging With Futures And Options: A Demand Systems Approach," 2000 Conference, April 17-18 2000, Chicago, Illinois 18941, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    7. Hegde, S. Aaron, 2004. "An Economic History Of The Failure Of Broiler Futures," 2004 Annual meeting, August 1-4, Denver, CO 20397, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:ajarec:v:29:y:1985:i:3:p:199-209. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/aaresea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.