Zheng Cotton and American Cotton Convergence Strengthen Year-end Quotes Analysis

The ratio of the first quarter is well known, and the price correlation coefficient between Zheng cotton and American cotton reaches 0.956, which shows that the trend of convergence between the two is very strong. We can observe from its disk movements. And we use the ratio of the two to compare the trend of cotton in the years before last year.

From January to April of 2007, the ratio of cotton to cotton in Zheng cotton fluctuates from 250 to 270. From January to April of 2008, the ratio of cotton to cotton in Zheng cotton ranges from 170 to 210. From January to April 2009, the ratio of cotton to cotton in Zheng cotton ranges from 230 to 290. Between January and April 2010, the ratio of Zheng cotton to cotton was between 190 and 230. It is not difficult to see from the statistics we have compiled that the ratio between 2007 and 2009 is at a high level, while the ratio between 2008 and 10 years has declined. The ratio experienced a rise-fall-rise-decline process. On the one hand, we conclude whether domestic cotton prices have risen faster than foreign countries. On the other hand, we must also consider the exchange rate factor because the exchange rate of *** was still around 7.6 in 2007, and the exchange rate has been lower since late 2008. Appreciation, the current exchange rate is around 6.58. Therefore, from the above observations, the ratio of Zheng cotton to US cotton will be in a relatively balanced fluctuation range before and after years. The period of time when Bo understands that there is a significant increase or decrease trend is approximately April. This time period is also when the new cotton is about to be planted. Time period.

The general foreign year is in late December, around Christmas. The domestic New Year is around February, so when the country is on vacation, the external disk ** is still operating as usual. At this time, the risk is brewing. We first analyze the returns and fluctuations of foreign cotton after the year before.

First of all, from the 2006 US cotton income and volatility situation. Around December 26, cotton income showed a gradual decline. It was known that by the end of January 2007, it gradually stabilized and recovered, and its earnings fell from +7% to -6%. During this period, the volatility was relatively stable with no major fluctuations and the fluctuations were all around 2%. By the end of March, earnings had reached a high of 3% and then began to decline again. Compared with the domestic situation, domestic cotton income fluctuates below the 0-axis from the beginning of January to the beginning of February. In mid-February to mid-March, the return of the cotton industry has shown a rising trend. During this period, the cotton fluctuations in January and February were relatively stable at 1%. In the following, fluctuations have gradually increased since March.

Second, from the perspective of domestic cotton income and volatility in 2007, around December 26, cotton income rose slightly, basically between -0.1% and 0.1%. From early December to late January, earnings rose, and fluctuations stabilized and then rose. The gains and fluctuations in the amplification stage were in mid-to-late February, with volatility reaching 15% in April and 27% in early March. The domestic cotton can be divided into two stages during the period from January to March. From January to February, the income will decline. The income will rebound rapidly from February to March. It will reach -2.7% on February 1. It will reach a high level on March 5. 10.7%. From the beginning of January to the end of February, the fluctuations ranged from 1% to 2%, after which the volatility was significantly enlarged. In April, the fluctuations reached a relatively high point of 5%.

Again from the domestic and foreign cotton in 2008 to analyze. From December 26 onwards, cotton income narrowed and then amplified. Revenue at the end of December reached 17%, and from this time onwards, as the financial crisis gradually came into play, cotton income oscillated downwards, knowing that March 5 earnings were -18.9%. In the period of December to March, the fluctuation of cotton showed a tendency to oscillate first. The fluctuation range is between 4% and 7%. From the beginning of January to the beginning of March of the domestic cotton, the revenue showed a downward trend. On March 6th, the profit reached -3%, and then on April 9, the profit reached 10.1%. Most of the fluctuations are between 1% and 3%.

Again, the domestic and foreign cotton returns and fluctuations in 2009. From the figure, it is found that US cotton's earnings have been declining from the beginning of December to the beginning of February, reaching -10.3% on February 1st, and the earnings jumped to 18.9% by the beginning of March. The fluctuations were between 2% and 4% before February 9 and 9.7% at the March 3 swing. Domestic cotton showed a downward trend before February 1st, reaching -8.8% on February 1st, and from the beginning of February 1st to March 9th, the return was 7.4%. During this period, the volatility gradually increased, reaching 5% on March 4 and then rapidly decreasing. The volatility was reduced to 1.2% on March 22 and then fluctuated between 1% and 2.5%.

Finally, in 2010, US Cotton took December 21 as the starting point, and in the first 20 days, the revenue increased, and in the next 20 days, the revenue decreased. The volatility is also relatively strong, ranging from 8% to 16%. Domestic cotton income and volatility are also more severe than in previous years. However, in accordance with the law, at least one month after the year before, earnings and volatility will not be too great, and after that, returns and volatility will gradually increase. On the one hand, it is because with the advent of the new cotton year, various predictions of the planting area and inferences from the state's regulatory policies have led to an increase in market uncertainty, and investor concerns have increased.

Changes in volume in the second quarter At the same time, domestic and foreign cotton volumes and positions were reflected in January-April, and the positions were gradually increased, and the trading volume was also at a high level. Domestic cotton has a relatively small number of cotton positions before 2010, and the degree of cotton’s destruction is not enough. Therefore, from the perspective of speculation (trading value / position amount), speculation on cotton is not enough. Therefore, its trading volume is not large. The only thing that can be expressed is the situation from January to April 2010. At this time, the volume and positions of cotton are in a high level. Once April, the volume and positions will obviously increase and decrease. This is consistent with the points of the above analysis.

Section III Summary From the above analysis, we can see from January to April that it is a critical time. From the longitudinal comparison, the four-month earnings and fluctuations are less volatile than in the other months. From the horizontal comparison point of view, the profit in the middle-to-second quarter of January to February narrowed, and the earnings in late-March to late March increased gradually. Fluctuations also increase. And as the market continues to increase the degree of speculation in cotton, cotton returns and volatility will be revalued after 2010. According to the characteristics of time difference between domestic and foreign cotton, if the market meets the conditions, internal and external arbitrage is a strategy that can be considered.

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