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- Title
Uma análise da operação de hedge no etanol hidratado em uma usina do Estado da Paraíba.
- Authors
Moraes, Alexandra Kelly; Falcão Sobral, Marcos Felipe; de Souza Melo, André
- Abstract
The purpose of this article is to compare cash transactions and hedge operations in the sale of Hydrous Ethanol in a mill. The futures prices were extracted from the BM&FBOVESPA historical series while the spot values were provided by a sugar-alcohol mill in the State of Paraíba. Then, the Augmented Dickey-Fuller Test was evaluated to check the stationarity of ethanol and the Cointegration Test to describe the ethanol relation in the long term. Finally, the hedge operation and the optimal ratio and hedge effectiveness were measured. The results indicated that hydrous ethanol presents oscillatory behavior with a tendency to lower and higher market prices for both spot and future variables. It was identified that the risk for the spot price was 21% while in future operations it was 9%. These results showed that, in order to minimize the risk of the spot and future price of hydrated ethanol in the State of Paraíba, investors must protect themselves through hedge operations.
- Subjects
PARAIBA (Brazil : State); SPOT prices; CASH transactions; MARKET prices; FUTURES sales &; prices; MARKET pricing; ETHANOL
- Publication
Revista em Agronegócio e Meio Ambiente, 2021, Vol 14, Issue 4, p893
- ISSN
1981-9951
- Publication type
Article
- DOI
10.17765/2176-9168.2021v14n4e7850