Are Chinese crude oil futures good hedging tools?
Are Chinese crude oil futures good hedging tools?
复制标题
中国原油期货是良好的对冲工具吗？
DOI：
10.1016/j.frl.2020.101514
复制
发表时间：
2021-01-22
影响因子：
10.4
通讯作者：
Li, Ping
中科院分区：
文献类型：
--
作者：
Li, Jie;Huang, Lixin;Li, Ping
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.
