Efficiency of Hedging Against Fluctuating Prices of Dairy Products (2015)
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.
CitationKoeman J, Bialkowski J (2015). Efficiency of Hedging Against Fluctuating Prices of Dairy Products. Applied Finance Letters. 4(1&2). 6-11.
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Keywordsagricultural commodities; CME dairy futures; cross-hedging; dairy; New Zealand stock exchange dairy futures; Error Correction Model
ANZSRC Fields of Research35 - Commerce, management, tourism and services::3502 - Banking, finance and investment::350202 - Finance
35 - Commerce, management, tourism and services::3502 - Banking, finance and investment::350207 - International finance
RightsAll rights reserved unless otherwise stated
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