| Summary: | 碩士 === 淡江大學 === 財務金融學系碩士班 === 99 === This study primarily examines the cross-hedging performance with the most
actively traded contract, soybean oil futures on Dalian Commodity Exchange. Unlike
previous studies, we constructed two market indices for agribusiness companies listed
on the Shanghai Stock Exchange and the Shenzhen Stock Exchange as proxy for
stock market performance. Based on the bivariate GARCH-type framework,
important evidences are illustrated in our empirical results and it provides global
traders with worthwhile implications for optimal utilization of futures contracts.
To improve the weakness of symmetric GARGH model, we employ the
GJR-GARCH model to capture the asymmetric effect in volatility of financial
variables. Owing to the implementation of the split share structure reform in 2005,
more tradable shares on stock market might lead to a substantial increase in liquidity.
Further, since the existence of the cycle in agricultural crop production, the hedge
period length and hedging frequency serve a vital role in agricultural futures hedging.
Our finding offers insightful suggestion for domestic individuals and institutional
shareholders who suffer from the price fluctuation in agricultural market.
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