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Applied Financial Economics Volume 17, 2007 - Issue 9
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Original Articles

Hedging effectiveness and futures contract maturity: the case of NYMEX crude oil futures

Ronald D. Ripple Department of Economics, Macquarie University, North Ryde, NSW 2109, AustraliaCorrespondence[email protected]
&
Imad A. Moosa Department of Accounting and Finance, Monash University, Caulfield East, Victoria 3145, Australia
Pages 683-689 | Published online: 05 Jun 2007

Citations (31)

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Read on this site (2)

Yuki Toyoshima, Tadahiro Nakajima & Shigeyuki Hamori. (2013) Crude oil hedging strategy: new evidence from the data of the financial crisis. Applied Financial Economics 23:12, pages 1033-1041.
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Ming Jing Yang & Yi-Chuan Lai. (2009) An out-of-sample comparative analysis of hedging performance of stock index futures: dynamic versus static hedging† . Applied Financial Economics 19:13, pages 1059-1072.
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Articles from other publishers (29)

Partha Sarathi RoyTanupa Chakraborty. (2020) Efficiency of Indian Equity Futures Market—An Empirical Analysis with reference to National Stock Exchange. Global Business Review 24:6, pages 1326-1352.
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Peter Sinka & Peter J. Zeitsch. (2021) Hedge Effectiveness of the Credit Default Swap Indices: a Spectral Decomposition and Network Topology Analysis. Computational Economics 60:4, pages 1375-1412.
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Babu Jose & Nithin Jose. (2022) Is Cross-Hedging Effective for Mitigating Equity Investment Risks in the Indian Banking Sector?. Asia-Pacific Financial Markets.
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Pınar Evrim Mandacı & Ayşegül Kırkpınar. (2022) Oil assets and portfolio diversification: Firm-level analysis for Borsa Istanbul. Borsa Istanbul Review 22:3, pages 571-585.
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Tadahiro Nakajima & Shigeyuki HamoriTadahiro Nakajima & Shigeyuki Hamori. 2022. Energy Trading and Risk Management. Energy Trading and Risk Management 85 104 .
James S. Doran & Ehud I. Ronn. (2021) Hedging Long-Dated Oil Futures and Options Using Short-Dated Securities—Revisiting Metallgesellschaft. Journal of Risk and Financial Management 14:8, pages 379.
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Weiping Li & Wenwen Liu. (2020) Investor sentiment‐styled index in index futures market. Review of Financial Economics 39:1, pages 51-72.
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Hao Chen, Zhixin Liu, Yinpeng Zhang & You Wu. (2020) The Linkages of Carbon Spot-Futures: Evidence from EU-ETS in the Third Phase. Sustainability 12:6, pages 2517.
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Keshab Shrestha, Ravichandran Subramaniam, Yessy Peranginangin & Sheena Sara Suresh Philip. (2018) Quantile hedge ratio for energy markets. Energy Economics 71, pages 253-272.
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Jim Hanly. (2017) Managing Energy Price Risk using Futures Contracts: A Comparative Analysis. The Energy Journal 38:3.
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Shashi Gupta, Himanshu Choudhary & D.R. Agarwal. (2017) Hedging Efficiency of Indian Commodity Futures. Paradigm 21:1, pages 1-20.
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Keshab Shrestha, Ravichandran Subramaniam & Puspavathy Rassiah. (2017) Pure martingale and joint normality tests for energy futures contracts. Energy Economics 63, pages 174-184.
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Hamed Ghoddusi & Sahar Emamzadehfard. (2017) Optimal hedging in the US natural gas market: The effect of maturity and cointegration. Energy Economics 63, pages 92-105.
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Peter A. Turner & Siew Hoon Lim. (2015) Hedging jet fuel price risk: The case of U.S. passenger airlines. Journal of Air Transport Management 44-45, pages 54-64.
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John Cotter & Jim Hanly. (2015) Performance of utility based hedges. Energy Economics 49, pages 718-726.
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Massimiliano Caporin, Juan-Angel Jimenez-Martin & Lydia Gonzalez-Serrano. (2014) Currency hedging strategies in strategic benchmarks and the global and Euro sovereign financial crises. Journal of International Financial Markets, Institutions and Money 31, pages 159-177.
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John Hua Fan, Eduardo Roca & Alexandr Akimov. (2013) Estimation and performance evaluation of optimal hedge ratios in the carbon market of the European Union Emissions Trading Scheme. Australian Journal of Management 39:1, pages 73-91.
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Guglielmo Maria Caporale, Davide Ciferri & Alessandro Girardi. (2014) Time-Varying Spot and Futures Oil Price Dynamics. Scottish Journal of Political Economy 61:1, pages 78-97.
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Chia-Lin Chang, Lydia González-Serrano & Juan-Angel Jimenez-Martin. (2013) Currency hedging strategies using dynamic multivariate GARCH. Mathematics and Computers in Simulation 94, pages 164-182.
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Sawsan Hilal, Ser-Huang Poon & Jonathan Tawn. (2011) Hedging the black swan: Conditional heteroskedasticity and tail dependence in S&P500 and VIX. Journal of Banking & Finance 35:9, pages 2374-2387.
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Chia-Lin Chang, Michael McAleer & Roengchai Tansuchat. (2011) Crude oil hedging strategies using dynamic multivariate GARCH. Energy Economics 33:5, pages 912-923.
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Hooi Hooi Lean, Michael McAleer & Wing-Keung Wong. (2010) Market efficiency of oil spot and futures: A mean-variance and stochastic dominance approach. Energy Economics 32:5, pages 979-986.
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Michael Ye, John Zyren, Joanne Shore & Thomas Lee. (2010) Crude Oil Futures as an Indicator of Market Changes: A Graphical Analysis. International Advances in Economic Research 16:3, pages 257-268.
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Peter Sinka & Peter Zeitsch. (2019) A Spectral Decomposition of the Credit Default Swap Indices. SSRN Electronic Journal.
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Jim Hanly. (2016) Managing Energy Price Risk Using Futures Contracts: A Comparative Analysis. SSRN Electronic Journal.
Crossref
Chia-Lin Chang, Lydia González Serrano & Juan-Angel Jiménez-Martin. (2012) Currency Hedging Strategies Using Dynamic Multivariate GARCH. SSRN Electronic Journal.
Crossref
Sawsan Abbas, Ser-Huang Poon & Jonathan Tawn. (2009) Hedging the Black Swan: Conditional Heteroskedasticity and Tail Dependence in S&P500 and Vix. SSRN Electronic Journal.
Crossref
Hooi Hooi Lean, Michael McAleer & Wing-Keung Wong. (2010) Market Efficiency of Oil Spot and Futures: A Mean-Variance and Stochastic Dominance Approach. SSRN Electronic Journal.
Crossref
Roengchai Tansuchat, Chia-Lin Chang & Michael McAleer. (2010) Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH. SSRN Electronic Journal.
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