Cross hedging jet fuel on the Singapore spot market.

Clark, Ephraim A., 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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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: A. > Business School > Accounting and Finance
Item ID: 4525
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Depositing User: Devika Mohan
Date Deposited: 16 Mar 2010 10:40
Last Modified: 14 Apr 2019 15:14

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