The optimal hedge strategy of crude oil spot and futures markets: Evidence from a novel method

2018 ◽  
Vol 24 (1) ◽  
pp. 186-203 ◽  
Author(s):  
Lu-Tao Zhao ◽  
Ya Meng ◽  
Yue-Jun Zhang ◽  
Yun-Tao Li
Keyword(s):  
Crude Oil ◽  
Futures Markets ◽  
Novel Method ◽  
Optimal Hedge

Covariance breakdowns and connectedness of crude oil futures markets with non-synchronous data

2018 ◽  
Vol 51 (5) ◽  
pp. 422-443 ◽  
Author(s):  
Jiawen Luo ◽  
Langnan Chen ◽  
Weiguo Zhang
Keyword(s):  
Crude Oil ◽  
Futures Markets ◽  
Oil Futures ◽  
Crude Oil Futures

scholarly journals Speculators, Prices, and Market Volatility

2016 ◽  
Vol 51 (5) ◽  
pp. 1545-1574 ◽  
Author(s):  
Celso Brunetti ◽  
Bahattin Büyükşahin ◽  
Jeffrey H. Harris
Keyword(s):  
Natural Gas ◽  
Financial Markets ◽  
Crude Oil ◽  
Hedge Funds ◽  
Futures Markets ◽  
Hedge Fund ◽  
Market Volatility ◽  
Price Changes ◽  
Oil And Natural Gas ◽  
Price Trends

We use data from 2005–2009 that uniquely identify categories of traders to test how speculators such as hedge funds and swap dealers relate to volatility and price changes. In examining various subperiods where price trends are strong, we find little evidence that speculators destabilize financial markets. To the contrary, hedge fund position changes are negatively related to volatility in corn, crude oil, and natural gas futures markets. Additionally, swap dealer activity is largely unrelated to contemporaneous volatility. Our evidence is consistent with the hypothesis that hedge funds provide valuable liquidity and largely serve to stabilize futures markets.

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