Cross Hedging Jet Fuel on the Singapore Spot Market
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 correla...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Sprog: | English |
| Udgivet: |
Universiti Utara Malaysia Press
2003
|
| Fag: | |
| Online adgang: | https://repo.uum.edu.my/id/eprint/25119/1/IJBF%20%201%202%202003%201%2014.pdf |
| _version_ | 1825805226750246912 |
|---|---|
| author | Clark, Ephraim Tan, Mark Tunaru, Radu |
| author_facet | Clark, Ephraim Tan, Mark Tunaru, Radu |
| author_sort | Clark, Ephraim |
| collection | UUM |
| description | 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. |
| first_indexed | 2024-07-04T06:28:50Z |
| format | Article |
| id | uum-25119 |
| institution | Universiti Utara Malaysia |
| language | English |
| last_indexed | 2024-07-04T06:28:50Z |
| publishDate | 2003 |
| publisher | Universiti Utara Malaysia Press |
| record_format | eprints |
| spelling | uum-251192018-11-11T00:43:58Z https://repo.uum.edu.my/id/eprint/25119/ Cross Hedging Jet Fuel on the Singapore Spot Market Clark, Ephraim Tan, Mark Tunaru, Radu HG Finance 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. Universiti Utara Malaysia Press 2003 Article PeerReviewed application/pdf en https://repo.uum.edu.my/id/eprint/25119/1/IJBF%20%201%202%202003%201%2014.pdf Clark, Ephraim and Tan, Mark and Tunaru, Radu (2003) Cross Hedging Jet Fuel on the Singapore Spot Market. International Journal of Banking and Finance (IIJBF), 1 (2). pp. 1-14. ISSN 1675-7227 http://ijbf.uum.edu.my/index.php/previous-issues/132-the-international-journal-of-banking-and-finance-ijbf-vol-1-no-2-june-december-2003 |
| spellingShingle | HG Finance Clark, Ephraim Tan, Mark Tunaru, Radu Cross Hedging Jet Fuel on the Singapore Spot Market |
| title | Cross Hedging Jet Fuel on the Singapore Spot Market |
| title_full | Cross Hedging Jet Fuel on the Singapore Spot Market |
| title_fullStr | Cross Hedging Jet Fuel on the Singapore Spot Market |
| title_full_unstemmed | Cross Hedging Jet Fuel on the Singapore Spot Market |
| title_short | Cross Hedging Jet Fuel on the Singapore Spot Market |
| title_sort | cross hedging jet fuel on the singapore spot market |
| topic | HG Finance |
| url | https://repo.uum.edu.my/id/eprint/25119/1/IJBF%20%201%202%202003%201%2014.pdf |
| work_keys_str_mv | AT clarkephraim crosshedgingjetfuelonthesingaporespotmarket AT tanmark crosshedgingjetfuelonthesingaporespotmarket AT tunaruradu crosshedgingjetfuelonthesingaporespotmarket |