The paper here presents the econometric analysis of interrelationships of wheat prices in Poland and other important EU producers from 2004 through 2008. The first stage of research examined integration of considered markets by the use of ADF and KPSS tests. To study the cointegration we used the Johansen's method. Then for cointegrated time series we estimated model with Error Correction Mechanism – ECM. We also considered possibilities of applying derivatives, used within the EU, to reduce risk on the Polish wheat market. We decided to test the chooser options as they may be useful for inexperienced investors who are uncertain about the direction of the market and do not know if they should buy a call or a put option. We focused on Poland, Germany and France, because econometric analysis presented in the paper revealed cointegration of wheat prices in these countries. The research results proved that even though the choosers options were more expensive than analogous vanilla options, it was possible to gain profits from their application on the wheat markets in considered European countries.

1. FULLTEXT: Possibilities of investing on European wheat market with the use of chooser options, Microsoft Office Document, 0.3MB
2. FULLTEXT: Possibilities of investing on European wheat market with the use of chooser options, Microsoft Office Document, 0.2MB

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