| China is the world’s largest pork production and consumption market.Pigs occupy an extremely important position in China’s agricultural production and residents’ daily consumption.However,China’s pig prices fluctuate frequently and violently,which seriously affects the production and operation of enterprises related to the pig industry chain,and the pressure on the pig breeding industry as the core link is particularly obvious.On January 8,2021,live hog futures were officially listed for trading on the Dalian Commodity Exchange,providing an important hedging tool for China’s pig breeding enterprises.How to design an effective hog futures hedging program has become a very practical issue.This thesis first analyzes the necessity and feasibility of pig breeding enterprises using live hog futures for hedging by taking Muyuan Food as an example.Through the combing and research of relevant literature and hedging theory at home and abroad,it is believed that the core of hedging strategy lies in the determination of hedging ratio.This thesis selects the national average pig price and the closing price of the main contract of hog futures from March 1,2021 to February 1,2023 as the series of hog futures and spot prices,and uses OLS,B-VAR,ECM,and GARCH models to value the minimum variance hedging ratio of live hog futures,and uses two performance evaluation methods to actually measure the performance of each model.Then,taking Muyuan Food as an example to apply the optimal hedging ratio of live hog futures,a live hog futures hedging scheme including contract direction,contract delivery month selection,contract quantity,position opening and closing time and other factors were designed,and a batch of pigs slaughtered in February this year were taken as an example to demonstrate the specific implementation process and effect of the hedging scheme.The futures market is leveraged trading,risks exist objectively,and this article also discusses the risks and countermeasures that hedging may face.Finally,this thesis summarizes the research conclusions and puts forward some suggestions for enterprises and relevant departments.Pig breeding enterprises should actively use live hog futures to avoid the risk of fluctuations in pig prices,and use the optimal hedging ratio and hedging scheme obtained in this thesis to implement hedging more scientifically and reasonably,while paying attention to the possible risks of hedging;Relevant departments should further popularize the knowledge of hog futures and improve the trading activity of hog futures market so as to give full play to the hedging function of hog futures;As there is a certain threshold for direct participation in futures trading,free-range farmers can use the "futures + insurance" model to avoid the price risk of pigs. |
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