Affiliation:
1. Monash University Malaysia
2. Monash University Indonesia
Abstract
In this study, we empirically analyze the contributions of three crude oil-based exchange traded funds (ETFs) and the futures contract in hedging crude oil price risk. In order to measure hedging contributions of ETFs, we estimate the usual minimum variance hedge ratios as well as the quantile based minimum variance hedge ratios based on three different methods. We also compute the hedging effectiveness of the futures contract and three ETFs. We find that ETFs can be used as hedging instruments especially for the longer hedging horizons and extreme quantiles. However, overall, we find the futures contract to be the most effective instrument for hedging.
Publisher
University of New Haven - College of Business
Subject
Marketing,Organizational Behavior and Human Resource Management,Strategy and Management,Business, Management and Accounting (miscellaneous)
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