TY - JOUR
T1 - Contribution of exchange traded funds in hedging crude oil price risk
AU - Shrestha, Keshab
AU - Sara Suresh Philip, Sheena
AU - Peranginangin, Yessy
N1 - Funding Information:
We would like to thank Monash University Malaysia for the research support.
Publisher Copyright:
© The Authors 2023.
PY - 2023/5
Y1 - 2023/5
N2 - 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.
AB - 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.
KW - Price Discovery
KW - Information Share
KW - Quantile Hedge Ratio
KW - Exchange Traded Funds
UR - https://www.scopus.com/pages/publications/85164669439
U2 - 10.37625/abr.26.1.203-225
DO - 10.37625/abr.26.1.203-225
M3 - Article
AN - SCOPUS:85164669439
SN - 2689-8810
VL - 26
SP - 203
EP - 225
JO - American Business Review
JF - American Business Review
IS - 1
ER -