摘要：This study examines the feasibility of cross-hedging cottonseed meal with soybean mealfutures. The Bayesian tests for market efficiency on the cash and futures price data soundly rejectsthe presence of nonstationary root. The simple linear regression of cottonseed meal cash priceson soybean meal futures provides a direct price movement relationship. Using the estimatedhedge-ratios, the net realized prices are calculated for seven different cash markets. The netrealized prices exhibit risk efficiency superior to cash pricing. The empirical analyses suggest thatsoybean meal futures can be used as a potential cross-hedging vehicle for cottonseed meal.Key words: soybean meal, cottonseed meal, cross-hedging, bayesian.
