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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

References

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  • Milliaris , AG and Urrutia , JL . 1991 . The impact of the lengths of estimation periods and hedging horizons on the effectiveness of a hedge: evidence from foreign currency futures . Journal of Futures Markets , 3 : 271 – 89 .
  • Milonas , NT . 1986 . Price variability and the maturity effect in futures markets . Journal of Futures Markets , 6 : 444 – 59 .
  • Moosa , IA . 2002 . Price discovery and risk transfer in the crude oil futures market: some structural time series evidence . Economic Notes , 31 : 155 – 65 .
  • Moosa , IA . 2003a . The sensitivity of the optimal hedge ratio to model specification . Finance Letters , 1 : 15 – 20 .
  • Moosa , IA . 2003b . International Financial Operations: Arbitrage, Hedging, Speculation, Financing and Investment , London : Palgrave .
  • Moosa , IA and Bollen , B . 2001 . Is there a maturity effect in the price of the S&P 500 futures contract? . Applied Economics Letters , 8 : 693 – 5 .
  • Myers , RJ and Thompson , SR . 1989 . Generalized optimal hedge ratio estimation . American Journal of Agricultural Economics , 71 : 858 – 68 .
  • Samuelson , PA . 1965 . Proof that properly anticipated prices fluctuate randomly . Industrial Management Review , 6 : 41 – 9 .
  • Serletis , A . 1992 . Maturity effects in energy futures . Energy Economics , April : 150 – 7 .

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