This study investigates whether U.S. corn merchants can effectively manage the overnight price risk of cash corn purchased after the Chicago Board of Trade closes at 1:15 p.m. on either the electronic Project A market or in the corn contract traded on the Tokyo Grain Exchange. Three scenarios are examined: 1) overnight hedges; 2) day-to-day hedges; and 3) two-day hedges. Overnight hedges are the least effective of the three scenarios on both markets. E*hedging on Project A is more effective than hedging in Tokyo, yet trading of corn futures contracts on Project A remains relatively thin and illiquid. Steps need to be taken to encourage more trading of this contract.
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机译:这项研究调查了美国玉米商人是否可以有效管理芝加哥商品交易所(Chicago Board of Trade)在下午1:15关闭后购买的现金玉米的隔夜价格风险。在电子项目A市场上或在东京谷物交易所交易的玉米合约中。研究了三种情况:1)隔夜对冲; 2)日常套期保值;和3)两天的套期保值。在两个市场上,隔夜对冲是三种方案中效果最差的一种。对项目A进行电子对冲比在东京进行对冲更为有效,但是对项目A的玉米期货合约交易仍然相对稀少且缺乏流动性。需要采取措施鼓励该合同的更多交易。
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