{"title":"Cross Hedging Jet Fuel on the Singapore Spot Market","authors":"Ephraim Clark, M. Tan, R. Tunaru","doi":"10.32890/IJBF2003.1.2.8332","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":170943,"journal":{"name":"The International Journal of Banking and Finance","volume":"10 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2003-08-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"5","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"The International Journal of Banking and Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.32890/IJBF2003.1.2.8332","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 5
Abstract
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.
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