Cross Hedging Jet Fuel on the Singapore Spot Market | Zendy

Ephraim Clark | Zendy; Mark Tan | Zendy; Radu Tunru | Zendy

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Cross Hedging Jet Fuel on the Singapore Spot Market

Author(s) -

Ephraim Clark,

Mark Tan,

Radu Tunru

Publication year - 2003

Publication title -

international journal of banking and finance

Language(s) - English

Resource type - Journals

ISSN - 1675-722X

DOI - 10.32890/ijbf2003.1.2.8332

Subject(s) - spot contract , spot market , jet fuel , jet (fluid) , sample (material) , econometrics , heating oil , goodness of fit , economics , statistics , mathematics , financial economics , engineering , physics , mechanics , thermodynamics , futures contract , electricity , electrical engineering , waste management

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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