The Cross-species Hedge between Hot-rolled and WR0909 Based on Shanghai Market

Based on the sample data dating from February 2006 to September 2009, as well as futures' data after March 27 2009 of WR0909, the study found that the hot-rolled and WR0909 had a long-term relevance and could be cross-species hedge.The cross-species hedge which uses the law of the same value is adjusted by the optimal hedge ratio.It not only provides a means of risk aversion for the steel enterprises, but also implements the basic functions of futures market.