Cross hedging jet fuel on the Singapore spot market.

Clark, Ephraim A. and Tan, Mark and Tunaru, Radu (2003) Cross hedging jet fuel on the Singapore spot market. International Journal of Banking and Finance, 1 (2). ISSN 1675-7227

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Abstract

In this paper we test for the most effective cross hedging instrument for the Singapore spot market in jet fuel over the period February 4, 1997 to August 21, 2001. Our results are mixed. We find that the heating oil contract is the best in-sample cross-hedging instrument. It has the highest correlation with the spot price and gives the best regression results. However, after correcting for serial correlation, the goodness of fit measured by R2 is rather low. Out of sample results are weak for all models and ambiguous with respect to the heating oil contract.

Item Type:Article
Research Areas:Middlesex University Schools and Centres > Business School > Accounting and Finance
ID Code:4525
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Deposited On:16 Mar 2010 10:40
Last Modified:10 Dec 2014 20:29

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