Cross hedging do novilho argentino no mercado futuro do boi gordo brasileiro
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2013
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The present study verifies the effectiveness of cross hedge operations for Argentinians steers by negotiation with futures contracts of the Brazilian live cattle in the Brazilian Securities, Commodities and Futures Exchange (BM&FBOVESPA). The hypothesis tested is that the optimal combination of futures contracts in futures market of the Brazilian live cattle with the spot position in market of the Argentinian steer is efficient in maximizing of expected utility in terms of the mitigating price risk. The growth of the acting of multinationals Brazilian of beef industries sector in Argentina and the ascertainment of what, in Argentina, many negotiation attempts of the future contracts beef cattle were frustrated along years, are elements which justify conducting this study. The effectiveness of the cross hedging was verified by application of strategies of the full and optimal coverage. The minimum variance Ederington (1979) and BEKK Engle and Kroner (1995) and Baba et al. (1990) models were used to estimate the optimal cross hedge ratio. The results show that there is strong evidences of futures market efficiency for Brazilian live cattle in risk management spot prices of Argentinians steers.