Are Chinese crude oil futures good hedging tools?

被引：43
|
作者：
Li, Jie [1 ]
Huang, Lixin [2 ]
Li, Ping [1 ]
机构：
[1] Beihang Univ, Sch Econ & Management, Beijing 100191, Peoples R China
[2] Princeton Int Sch Math & Sci, Princeton, NJ 08540 USA
来源：
FINANCE RESEARCH LETTERS | 2021年 / 38卷
基金：
中国国家自然科学基金;
关键词：
Chinese crude oil futures; Dynamic correlation; Hedging effectiveness; PRICES; SPOT;
D O I：
10.1016/j.frl.2020.101514
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Chinese crude oil futures market was launched on March 26, 2018 and became the third largest international crude oil futures market. To check the performance of this new comer, we investigate dynamic correlations between Chinese crude oil futures and spot prices of its two main underlying assets, OPEC and Oman, as well as the hedging effectiveness, accommodating WTI and Brent crude oil futures for comparison. Empirical results show that the correlations and hedging effectiveness of Chinese crude oil futures and spots are quite strong, showing that Chinese crude oil futures market realized its main functions and launching aims.
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页数：8
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