Volume 10, Issue 2 (summer 2006)                   JCPP 2006, 10(2): 1-16 | Back to browse issues page

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M. Abdolahi Ezzatabadi, B. Najafi. Estimating Hedging Ratios in Agricultural Futures and Options Markets and Studying the Factors Influencing Them: A Case Study of Pistachio in Iran. JCPP. 2006; 10 (2) :1-16
URL: http://jcpp.iut.ac.ir/article-1-359-en.html
Abstract:   (18692 Views)
In this study, at first, different models for measuring hedge ratios in futures and options markets were introduced. Then, the models were applied to a sample of 300 Iranian pistachio producers. The results showed that hedge ratios in pistachio futures and options markets, on average, were in a range of 0.22 to 0.99. When pistachio yield is unpredictable, options market is preferred to futures market. But in certain conditions, futures market is preferable. The results also showed that debt to asset ratio had a positive effect on hedge ratio, but bank loan effect was negative.
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Type of Study: Research | Subject: General

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