Virginia's regional grain prices exhibit high volatility due to the state's unique spatial variability and supply and demand fundamentals. This study explains Virginia's basis patterns for corn, soybeans, and wheat. Discussion of times when there were outstanding economic or fundamental market movers that affected basis in Virginia is also offered. The feasibility and process of hedging using futures is explained and evaluated in a case study. Possible marketing decisions based on the findings are presented in an easy and accessible manner, so that producers and extension agents can use this information to make real-time grain marketing decisions. / Master of Science / Virginia's regional grain prices exhibit high volatility due to the state's unique spatial variability and supply and demand fundamentals. This study explains Virginia's basis patterns for corn, soybeans, and wheat. Discussion of times when there were outstanding economic or fundamental market movers that affected basis in Virginia is also offered. The feasibility and process of hedging using futures is explained and evaluated in a case study. Possible marketing decisions based on the findings are presented in an easy and accessible manner, so that producers and extension agents can use this information to make real-time grain marketing decisions.

Master of Science / Department of Agricultural Economics / Kevin C. Dhuyvetter / Risk is an inevitable part of production agriculture. Price risk is especially a concern for cattle producers in the Midwest. Producers can curtail profit volatility, to an extent, through the utilization of price risk management strategies such as forward contracting, hedging, using put and call options, Livestock Risk Protection Insurance (LRP), as well as Livestock Gross Insurance (LGM) for feedlot cattle. Learning about such price risk management tools can be a daunting task. Kansas State University Extension created a computer based simulation workshop to assist them in teaching cattle producers about price risk management strategies. The simulation paralleled a lecture where participants learned of the price risk management strategies that are available. The simulation allowed the workshop participants to practice using the management strategies as they assumed the role of a feedlot or ranch manager in charge of marketing the operation's calves. In a cooperative effort with Iowa State University, Kansas State University presented the Cattle Risk Management Workshops across the state of Iowa. Participants were given pre-and posttests to measure the effectiveness of the workshop. The overall post-test scores were 25 percentage points higher than the pre-test scores. This research also discusses the interest and perceptions of cattle producers regarding price risk management strategies. The effectiveness of simulations as a teaching tool in helping producers learn about price risk management strategies is also reviewed. In addition, the various price risk management strategies available to producers, as well as seasonality of prices and basis are analyzed. This research also explains and estimates the LRP Feeder Cattle Basis Model. The LRP Feeder Cattle Basis Model was developed with the objective of assisting producers in forecasting LRP basis. The model was developed using similar methodology applied in the creation of a CME basis forecasting model developed by Kansas State University Extension and Custom Ag Solutions, Inc. The LRP Feeder Cattle Basis Model automatically adjusts for the LRP price adjustment factor applied to beef steer calves weighing less than 600 pounds, and beef heifers weighing 600-900 pounds. The LRP Feeder Cattle Basis Model explains 71.37 percent of the variation of LRP basis.

Magister Economicae - MEcon / Pre-democratic South Africa was highly regulated by the apartheid government with the black small-scale farming community actively marginalised. Following the deregulation of the South African agricultural market came the opening up of the market to accommodate these small-scale farmers and also the introduction of South African Futures Exchange. South Africa has done well in terms of development of ICT over the past years, making it a country with characteristics of both first and third world countries. This study aims to assess the agricultural commodity exchange market and how small-scale farmers may participate more actively in the market. This study finds that though South Africa has world class ICT infrastructure this has not made it easier for small-scale farmers to enter the agricultural market and value chain. The study finds that there is little or no participation by small-scale farmers in South African Futures Exchange. It finds that mobile phones and applications may be the way forward in the efforts to ensure their participation in the commodity exchange market through provision of services such as price discovery and price risk management as is the function of South African Futures Exchange. It is also found that there is need to invest in high value agricultural products in order to benefit more from commodity exchanges.

Agriculture is of inestimable value to South Africa because it is a major source of job creation and plays a key role in earning foreign exchange. The most significant contribution of agriculture, and in particular maize, is its ability to provide food for the nation. For a number of decades government legislation determined prices, and as such the trade of grains on the futures exchange requires market participants to adapt to a volatile environment. The research focuses on the ability of market participants to effectively mitigate price volatility on the futures exchange through the use of derivative instruments, and the possibility of developing risk management strategies that will outperform the return offered by the market. The study shows that market participants are unable to use derivative instruments in such a way that price volatility is minimised. The findings of the study also indicate that the development of derivative risk management strategies could result in better returns than those offered by the market, mainly by exploiting trends on the futures market. / Financial Accounting / M. Comm. (Business Management)

Corn production is scattered geographically over various continents, but most of it is grown in the United States. As such, the world price of corn futures contracts is largely dominated by North American corn prices as traded on the Chicago Board of Trade. In recent years, this market has been characterised by an increase in price volatility and magnitude of price movement as a result of decreasing stock levels. The development and implementation of an effective and successful derivative price risk management strategy based on the Chicago Board of Trade corn futures contract will therefore be of inestimable value to market stakeholders worldwide. The research focused on the efficient market hypothesis and the possibility of contesting this phenomenon through an application of a derivative price risk management methodology. The methodology is based on a combination of an analysis of market trends and technical oscillators with the objective of generating returns superior to that of a market benchmark. The study found that market participants are currently unable to exploit price movement in a manner which results in returns that contest the notion of efficient markets. The methodology proposed, however, does allow the user to consistently achieve returns superior to that of a predetermined market benchmark. The benchmark price for the purposes of this study was the average price offered by the market over the contract lifetime, and such, the efficient market hypothesis was successfully contested. / Business Management / D. Com. (Business Management)

Agriculture is of inestimable value to South Africa because it is a major source of job creation and plays a key role in earning foreign exchange. The most significant contribution of agriculture, and in particular maize, is its ability to provide food for the nation. For a number of decades government legislation determined prices, and as such the trade of grains on the futures exchange requires market participants to adapt to a volatile environment. The research focuses on the ability of market participants to effectively mitigate price volatility on the futures exchange through the use of derivative instruments, and the possibility of developing risk management strategies that will outperform the return offered by the market. The study shows that market participants are unable to use derivative instruments in such a way that price volatility is minimised. The findings of the study also indicate that the development of derivative risk management strategies could result in better returns than those offered by the market, mainly by exploiting trends on the futures market. / Financial Accounting / M. Comm. (Business Management)

Corn production is scattered geographically over various continents, but most of it is grown in the United States. As such, the world price of corn futures contracts is largely dominated by North American corn prices as traded on the Chicago Board of Trade. In recent years, this market has been characterised by an increase in price volatility and magnitude of price movement as a result of decreasing stock levels. The development and implementation of an effective and successful derivative price risk management strategy based on the Chicago Board of Trade corn futures contract will therefore be of inestimable value to market stakeholders worldwide. The research focused on the efficient market hypothesis and the possibility of contesting this phenomenon through an application of a derivative price risk management methodology. The methodology is based on a combination of an analysis of market trends and technical oscillators with the objective of generating returns superior to that of a market benchmark. The study found that market participants are currently unable to exploit price movement in a manner which results in returns that contest the notion of efficient markets. The methodology proposed, however, does allow the user to consistently achieve returns superior to that of a predetermined market benchmark. The benchmark price for the purposes of this study was the average price offered by the market over the contract lifetime, and such, the efficient market hypothesis was successfully contested. / Business Management / D. Com. (Business Management)

Le secteur automobile est de plus en plus dépendant aux matières plastiques dont le niveau et la volatilité des prix ont fortement augmenté au cours des dix dernières années, sous l’effet supposé des variations du prix du pétrole qui est le principal input nécessaire à leur fabrication. La thèse vise à fournir des outils économétriques permettant d’analyser et gérer le risque de variations des prix des principales matières plastiques utilisées dans l’industrie automobile. À l’aide des méthodologies de cointégration, nous montrons que les relations d’équilibre de long terme et les dynamiques de court terme mettent en évidence un mécanisme de transmission des variations des coûts de production sur le prix des plastiques situés en aval du processus productif. L’existence de relations de cointégration significatives entre les prix pétrochimiques et pétroliers justifie l’élaboration de stratégies de couverture contre les variations des coûts de production et l’estimation de modèles à correction d’erreur qui permettent d’affiner les prévisions des prix. / The automotive industry is increasingly dependent on plastic materials whose price level and volatility have risen sharply over the past decade due to the assumed effect of fluctuations in crude oil prices, which is the key feedstock in the production of final products such as plastics. This thesis aims to provide econometric tools to analyze, understand, and manage the risk of price volatility of major plastics materials consumed in the automotive industry. Using the cointegration methodology, we show that long-term equilibrium relationship and short-term dynamics reveal the transmission mechanism of input prices changes from the upstream market to the prices of plastics materials on the downstream market. The significant cointegration relationships between petrochemical and crude oil prices justify the development of hedging strategies against inputs prices fluctuation and the estimation of error correction models that should produce better prices forecast.