Hedging Performance in China Fuel Futures Market: An Empirical Comparison

摘要：

This paper examines hedging effectiveness in China fuel futures market.The optimal hedge ratio is estimated and an empirical comparison is provided in the context of ex-post and ex-ante variance reduction.Several models are employed,from the OLS regression model,the vector autoregressive model,the vector error correction model to the dynamic conditional correlation (DCC) model.The empirical results support that the hedge ratio from DCC model provides greater variance reduction in both cases.We find that its better to hedge Singapore spot fuel oil in Shanghai futures market than to hedge domestic fuel oil.

关键词： Optimal hedge ratio Fuel oil futures Hedging performance China fuel futures market

作者: Shengxiang She Chaoqun Ma

作者单位: College of Business Administration,Hunan University,Changsha,410082,China

会议类型: 国际会议

会议名称: The 2008 International Conference on Business Intelligence and Financial Engineering(BIFE 2008)(商业智能和金融工程国际会议)

会议地点: 长沙

会议语种:英文

页码: 1013-1019

在线出版日期: 2008-10-28（万方平台首次上网日期，不代表论文的发表时间）