Cross Hedging Jet Fuel on the Singapore Spot Market

Authors

  • Ephraim Clark Middlesex University, The Burroughs, London NW4 4BT, United Kingdom
  • Mark Tan Singapore
  • Radu Tunru University of Sussex Business School, United Kingdom

DOI:

https://doi.org/10.32890/ijbf2003.1.2.1

Abstract

In this paper we test for the most effective cross hedging instrument for the Singapore spot market in jet fuel over the period February 4, 1997 to August 21, 2001. Our results are mixed. We find that the heating oil contract is the best in-sample cross-hedging instrument. It has the highest correlation with the spot price and gives the best regression results. However, after correcting for serial correlation, the goodness of fit measured by R2 is rather low. Out of sample results are weak for all models and ambiguous with respect to the heating oil contract.

 

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Published

19-08-2003

Issue

Vol. 1 No. 2 (2003): International Journal of Banking and Finance (IJBF) Vol. 1, No.2, 2003

Section

Articles

How to Cite

Clark, E., Tan, M., & Tunru, R. (2003). Cross Hedging Jet Fuel on the Singapore Spot Market. International Journal of Banking and Finance, 1(2), 1-14. https://doi.org/10.32890/ijbf2003.1.2.1

Research impact

Harvested 2026-09-07
5 citations, from OpenAlex — the highest of the sources checked

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Identifiers DOI 10.32890/ijbf2003.1.2.1 OpenAlex W1580840164