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首页> 外文期刊>Risk Governance & Control: Financial Markets & Institutions >EFFECTIVENESS OF THE MANAGEMENT OF PRICE RISK METHODOLOGIES FOR THE CORN MARKET BASED ON TRADING SIGNALS
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EFFECTIVENESS OF THE MANAGEMENT OF PRICE RISK METHODOLOGIES FOR THE CORN MARKET BASED ON TRADING SIGNALS

机译：基于交易信号的玉米市场价格风险方法管理的有效性

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摘要

Corn production is scattered geographically over various continents, but most of it is grown in the United States. As such, the world price of corn futures contracts is largely dominated by North American corn prices as traded on the Chicago Board of Trade. In recent years, this market has been characterised by an increase in price volatility and magnitude of price movement as a result of decreasing stock levels. The development and implementation of an effective and successful derivative price risk management strategy based on the Chicago Board of Trade corn futures contract will therefore be of inestimable value to market stakeholders worldwide. The research focused on the efficient market hypothesis and the possibility of contesting this phenomenon through an application of a derivative price risk management methodology. The methodology is based on a combination of an analysis of market trends and technical oscillators with the objective of generating returns superior to that of a market benchmark. The study found that market participants are currently unable to exploit price movement in a manner which results in returns that contest the notion of efficient markets. The methodology proposed, however, does allow the user to consistently achieve returns superior to that of a predetermined market benchmark. The benchmark price for the purposes of this study was the average price offered by the market over the contract lifetime, and as such, the efficient market hypothesis was successfully contested.
机译：玉米产量在地理上分散在各大洲，但其中大部分是在美国种植的。因此，玉米期货合约的世界价格在很大程度上由在芝加哥期货交易所交易的北美玉米价格主导。近年来，由于库存水平下降，该市场的特点是价格波动性和价格变动幅度增加。因此，基于芝加哥交易委员会玉米期货合约制定和实施有效且成功的衍生品价格风险管理策略对全球市场利益相关者而言具有不可估量的价值。该研究集中在有效的市场假设以及通过应用衍生价格风险管理方法来对抗这种现象的可能性。该方法基于对市场趋势的分析和技术指标的组合，其目的是产生优于市场基准的回报。该研究发现，市场参与者当前无法以某种方式利用价格变动，从而导致收益与有效市场的观念相抗衡。但是，提出的方法确实允许用户始终获得优于预定市场基准的回报。在本研究中，基准价格是市场在合同生命周期内提供的平均价格，因此，有效的市场假设被成功辩驳。

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