Roll hedgeの損益分析による畜産生産者の国内鶏卵•豚肉先物市場活用に関する検討

• 賀来 康一

  農林水産省畜産試験場

書誌事項

タイトル別名

• A Study on the Livestock Producers' Practical Use of the Domestic Egg and Pork Futures Markets Based on Analysis of the Profit and Loss by Roll Hedge
• Roll hedge ノ ソンエキ ブンセキ ニヨル チクサン セイサンシャ

抄録

I investigated how the livestock producers should participate in the domestic egg and pork futures markets in the future. In 1993, 60% of eggs and 35% of pork were produced by nonfarmer producers. Main producers of egg and pork are now shifting from farmers to companies, on a commercial basis. The data for the livestock futures on CME (Live Hog, Frozen Pork Bellies, Feeder Cattle) from 1983 to 1993, and the data for the commodities on domestic futures markets (Red Beans, American Soybeans, Corn, Raw Sugar, Dry Cocoon, Raw Silk, Gold, Silver, Platinum, Rubber) from 1988 to 1993, and the data for the domestic cash pork and egg were used in this study. Rate of Changes (ROC) on prices of egg and pork during one-year, six-months and onemonth are high in comparison with the 13 futures commodities. Coefficient of correlation between the ratio of the days which are not backwardation to the examined period and the profit and loss by Roll hedge was significantly high on domesitic commodities (p<0.01) and CME livestok futures (p<0.01). These results indicate that most commodities of Storables have a larger ratio of the days which aren't backwardation and on the Storables sellers have many possibilities to get profit in the futures markets. On the Storables, relationship between the profit and loss by Roll hedge on 10 domestic futures commodities and the operation years of Roll hedge suggests that Roll hedge of a long term has good possibilites to bring profit both to hedgers and speculators. The price index on the livestock which is now under investigation can be regarded as the Nonstorables. So the domestic livestock producers should be hedgers by selling in the livestock futures markets under the limits of their output so that they could carry on stabilized enterprises.

収録刊行物

• 日本畜産学会報

  日本畜産学会報 66 (7), 618-629, 1995

  公益社団法人 日本畜産学会

キーワード

• livestock producers
• futures markets
• ROC
• Roll hedge
• egg and pork

詳細情報

• CRID: 1390282680168527488
• NII論文ID: 10024581099
• NII論文ID: 10021719899
• NII書誌ID: AN00195188
• DOI: 10.2508/chikusan.66.618
• ISSN: 18808255
• ISSN: 00215309
• ISSN: 1346907X
• ISSN: http://id.crossref.org/issn/1346907X
• NDL書誌ID: 3631111
• Web Site: https://ndlsearch.ndl.go.jp/books/R000000004-I3631111
• 本文言語コード: ja
• データソース種別:
  • JaLC
  • NDL
  • Crossref
  • CiNii Articles
• 抄録ライセンスフラグ: 使用不可