Efficiency and hedging effectiveness in the NYMEX crude oil futures market

Tarkan Çavuşoğlu and Soner Gokten ()

Iktisat Isletme ve Finans, 2011, vol. 26, issue 308, 29-51

Abstract: This study aims to investigate the speculative efficiency of the New York Mercantile Exchange (NYMEX) Light Sweet Crude Oil futures market and the effectiveness of these futures contracts in hedging the West Texas Intermediate (WTI) crude oil price risk. The period of interest ranges between October 2001 and August 2006, coinciding with the beginning of an oil price surge following the low-price period of the 1980s and 1990s. Our empirical findings imply that the NYMEX futures market is not an efficient market in the Fama sense for the October 2001-August 2006 period. Moreover, although the time-varying ratios are found to be slightly above the constant one in most of the sample period, the relative hedging effectiveness values based on the portfolio variances of the two hedge ratios are not different from each other in statistical terms.

Keywords: Hedging; Hedge Ratio; Crude Oil Futures; Bivariate GARCH (search for similar items in EconPapers)
JEL-codes: C32 G13 G14 (search for similar items in EconPapers)
Date: 2011
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:iif:iifjrn:v:26:y:2011:i:308:p:29-51

Ordering information: This journal article can be ordered from
http://www.iif.com.t ... ew/iif.2011.308.3108

Access Statistics for this article

Iktisat Isletme ve Finans is currently edited by Ali Bilge

More articles in Iktisat Isletme ve Finans from Bilgesel Yayincilik
Bibliographic data for series maintained by Ali Bilge ().