نوع مقاله : مقالات پژوهشی به زبان انگلیسی
نویسندگان
1 گروه اقتصاد کشاورزی، دانشکدگان کشاورزی و منابع طبیعی، دانشگاه تهران، کرج، ایران
2 گروه اقتصاد کاربردی، دانشگاه جان هاپگین، بالتیمور، ماریلند، ایالات متحده امریکا
چکیده
این مطالعه بر روی پوشش ریسک پسته فندقی با استفاده از قراردادهای آتی و سپرده سرمایهگذاری تمرکز دارد و تغییرات ریسک و انتخاب پرتفوی بهینه را از 27 مهرماه 1397 تا 28 دیماه 1400 بررسی میکند. با استفاده از نظریه سبد کالایی مارکویتز، این مطالعه از مدلهای اقتصادسنجی مختلفی از جمله تحلیل رگرسیون، مدلهای GARCH و آزمون ریشه واحد فصلی برای تعیین سبد کالایی بهینه جهت پوشش ریسک استفاده میکند. نتایج کلیدی شامل نوسانات فصلی معنادار در فرکانسهای مختلف است که نشاندهنده الگوهای فصلی قوی و پایدار است. تحلیل رگرسیون روابط معناداری بین بازدههای گذشته و کنونی را نشان میدهد که تأثیر بازدههای گذشته بر عملکرد کنونی را برجسته میکند. مدلهای GARCH ضرایب مثبت معناداری برای اثرات شوک و وقفههای واریانس نشان میدهند که به معنای تأثیرات قابل توجه شوکها و اثرات خودرگرسیونی قوی نوسانات گذشته بر نوسانات کنونی است. نسبت بهینه قراردادهای سپرده کالایی پسته فندقی بر اساس فصل و روز متغیر است که تقاضای بازار و ترجیحات سرمایهگذاران را منعکس میکند. این مطالعه چندین پیشنهاد سیاستی ارائه میدهد که عبارتند از؛ تقویت و مدیریت نوسانات فصلی از طریق مشتقات مالی، حمایت از ابزارهای پوشش ریسک، توجه به الگوهای فصلی و روزانه در ترکیب سبد کالایی، پایش و کنترل نوسانات در دورههای حساس و توسعه سیاستهای حمایتی در ماههای کم نوسان. این پیشنهادها هدف دارند عملکرد بازار پسته فندقی را بهبود بخشیده و کارایی تصمیمگیریهای سرمایهگذاری را افزایش دهند.
کلیدواژهها
موضوعات
عنوان مقاله [English]
Risk Analysis of Round Fandoghi Pistachio Contracts in the Iran Mercantile Exchange Market
نویسندگان [English]
- S. Sadafi Abkenar 1
- A.H. Chizari 2 1
- H. Rafiee 1
- H. Salami 1
1 Department of Agricultural Economics, Faculty of Agriculture and Natural Resources, University of Tehran, Karaj, Iran
2 Johns Hopkins University, Institute for Applied Economics, Baltimore, Maryland, United States
چکیده [English]
Iran Mercantile Exchange is striving to become a regional hub for price discovery of essential commodities and raw materials, providing producers with financial instruments and risk management tools. This study investigates the optimal hedge ratio in future and commodity deposit receipts (spot) contracts for Round Fandoghi pistachios. Using the BEKK-VAR-TARCH model, the impact of seasonal and daily volatility on returns and hedge ratios was assessed over the period from 19 October 2018 to 18 January 2022. The results showed that volatility on specific days of the week and during different seasons affect speculative and investment decisions in the commodity exchange. Particularly, sharp volatility during certain periods can lead to significant changes in returns and hedge ratios. These findings suggest that investors should update their investment strategies based on seasonal and daily volatilities. Additionally, the importance of utilizing financial instruments suited to market conditions for managing existing risks was confirmed. Ultimately, investors, speculators, and policymakers in the commodity exchange are advised to pay special attention to temporal changes and existing volatilities when composing their investment portfolios and adjusting hedge strategies. Furthermore, the use of futures contracts and derivative instruments is recommended as risk management approaches. This study contributes to a better understanding of volatility behavior and offers strategies for improved risk management in the Round Fandoghi pistachio market.
کلیدواژهها [English]
- Optimal commodity portfolio
- Optimal hedge ratio
- Seasonal data behavior
©2024 The author(s). This is an open access article distributed under Creative Commons Attribution 4.0 International License (CC BY 4.0).
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