Research: Timing a hedge decision 1

Our Research posts are about the latest academic research being done in the School of Economics. This week:

Timing a hedge decision: The development of a composite technical indicator for white maize

by Susari Geldenhuys, Frans Dreyer & Chris van Heerden


Frans Dreyer


Chris van Heerden

The South African white maize market is considered to be significantly more volatile than any other agricultural product traded on the South African Futures Exchange (SAFEX). This accentuates the need to effectively manage price risk, by means of hedging, to ensure a more profitable and sustainable maize production sector (Geyser, 2013:39; Jordaan et al., 2007:320). This study attempts to address this challenge by making use of technical analysis, focusing on the development of a practical and applicable composite technical indicator with the purpose of improving the timing of price risk management decisions identified by individual technical indicators. This substantiated the compilation of a composite indicator that takes both leading and lagging indicators into account to more accurately identify hedging opportunities. The results validated the applicability of such a composite indicator, as the composite indicator outperformed the individual technical indicators in the white maize market.

Download the ERSA working paper here.


One comment

  1. Pingback: Research round-up « Skool vir Ekonomie

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