The effectiveness and optimal hedge ratio to the soybean in Tupanciretã square

Abstract

ABSTRACT Considering the importance performed by the soybean production in the economy of municipality of Tupanciretã, the objective of this study is to identify whether the operations done with regards hedge in the future market of the BM&F provide effective results as a way to mitigate the risks arising from price fluctuations. Were gathered price time series of 60 kg bush of soybeans for both Tupanciretã and soybean contracts negotiated in the future market traded in the BM&F. With this information and based on the Portfolio Theory, were performed a series of econometric tests in order to prove the efficiency of using hedge by soybean farmers in Tupanciretã. It is concluded that the series under review led to results that are relatively low regarding the optimum ratio and effectiveness of hedge. This suggests that this is considered not to be am adequate risk management tool for farmers in Tupanciretã. Key-words Hedge; optimal hedge ratio; soybean. Artigo recebido em jun. 2011. JEL: C22, Q12