Risk Analysis of Round Fandoghi Pistachio Contracts in the Iran Mercantile Exchange Market
Journal Title: Journal of Agricultural Economics & Development - Year 2024, Vol 38, Issue 4
Abstract
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.
Authors and Affiliations
S. Sadafi Abkenar,A. H. Chizari,H. Rafiee,H. Salami,
Keywords
Related Articles
- EP ID EP763209
- DOI https://doi.org/10.22067/jead.2024.89445.1289
- Views 31
- Downloads 0
Effect of Customer Relationship Management on Company Performance According to the Moderating Role of Innovation Capability: Evidence from Button Mushroom Production and Packaging Company
IntroductionAgriculture, as one of the most important economic sectors in Iran, has many capabilities and capacities for creating many jobs with minimal investment (Sifelahi, 2021). One of the active fields in agricultur...
Explaining the Pattern of Effective Factors in Building the Capacity of Extension Experts in the Development of Smart Climate Agriculture in the Northwestern Provinces of the Country
Introduction Every country in the path of sustainable development needs capacity building and empowerment of human resources, organizations and environmental and ecological conditions, for this reason capacity building...
The Effect of Monetary and Financial Policies on Iran's Food Security
Abstract Using appropriate policies to overcome food insecurity is one of the pillars of economic prosperity of countries. Economic decisions that change macroeconomic parameters can directly or indirectly affect food p...
Asymmetric Effects of Exchange Rate and Oil Price Changes on Food and Agricultural Product Prices in Iran: Application of NARDL Approach
Introduction Despite the positive effects of the liberalization of economic activity around the world, the Iranian government still has a major share in the country's economy. However, almost all economists agree on the...
Identifying and Prioritizing Factors Affecting the Sustainability of the Agricultural Supply Chain with the Fuzzy DEMATEL and Fuzzy SWARA Approach in the Era of Covid-19: A Case Study
Introduction There is no doubt that the Covid-19 pandemic has had numerous adverse impacts on every aspect of human existence. In times of crises like epidemics throughout history, ensuring a sufficient food supply has...