Title :
An Exploration on Cross Hedging Method of Chinese Steel Enterprises for Spot Iron Ore and Enlightenments
Author :
Qiao, Han ; Mao, Yingming ; Liu, Xiang ; Zhao, Yingxue
Abstract :
In order to transfer the huge risk of iron ore spot market, to begin with, this paper analyzes the relationship between spot and future price of rebar and presents that rebar futures (RB) in Shanghai Futures Exchange (SHFE) can reflect concerning information efficiently. Secondly, based on the close relationship between SHEF RB settlement price and iron ore price, it attempts to hedge the risk in spot iron ore with RB futures. Besides, based on the study of this paper, it gives some recommendations.
Keywords :
minerals; pricing; rebar; risk management; steel industry; stock markets; Chinese steel enterprises; RB futures; SHEF RB settlement price; Shanghai Futures Exchange; cross hedging method; iron ore price; iron ore spot market; rebar futures; spot future price relationship; Contracts; Economics; Educational institutions; Equations; Iron; Pricing; Steel; RB futures; cross hedging; steel enterprises;
Conference_Titel :
Business Intelligence and Financial Engineering (BIFE), 2012 Fifth International Conference on
Conference_Location :
Lanzhou
Print_ISBN :
978-1-4673-2092-4
DOI :
10.1109/BIFE.2012.44
