Are Chinese crude oil futures good hedging tools?

Jie Li, Lixin Huang and Ping Li

Finance Research Letters, 2021, vol. 38, issue C

Abstract: 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.

Keywords: Chinese crude oil futures; Dynamic correlation; Hedging effectiveness (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (27)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:38:y:2021:i:c:s1544612320300350

DOI: 10.1016/j.frl.2020.101514

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