Published May 2010 | Version v1
Journal article Metadata-only

Hedging strategy for crude oil trading and the factors influencing hedging effectiveness

Creators

  • 1. Department of Economics and Finance, Hanyang University, 17 Haengdang-dong, Seongdong-gu, Seoul 133-791 (Korea, Republic of)
  • 2. Division of Energy Industry, Korea Energy Economics Institute, 665-1 Naeson-dong, Euiwang-si, Kyunggi-do 437-713 (Korea, Republic of)

Description

This study analyzes the hedging effectiveness of different hedge type and period by Korean oil traders. Both crude oil price and exchange rate risks are considered. Theoretical models are formulated to estimate the hedge ratios by separate and complex hedge types. The hedging period covers 1-12 months. This study also performs some statistical works to investigate the relationship between the hedging effectiveness and the crude oil price sensitivity to exchange rate. In addition, the relationship between the hedging effectiveness and the volatilities of crude oil price and exchange rate is analyzed.

Availability note (English)

Available from http://dx.doi.org/10.1016/j.enpol.2009.12.032

Additional details

Identifiers

DOI
10.1016/j.enpol.2009.12.032;
PII
S0301-4215(09)00988-4;

Publishing Information

Journal Title
Energy Policy
Journal Volume
38
Journal Issue
5
Journal Page Range
p. 2404-2408
ISSN
0301-4215
CODEN
ENPYAC

INIS

Country of Publication
United Kingdom
Country of Input or Organization
International Atomic Energy Agency (IAEA)
INIS RN
41087653
Subject category
S02: PETROLEUM; S29: ENERGY PLANNING, POLICY AND ECONOMY;
Descriptors DEI
FOREIGN EXCHANGE RATE; HAZARDS; PETROLEUM; PRICES; REPUBLIC OF KOREA; SENSITIVITY
Descriptors DEC
ASIA; DEVELOPING COUNTRIES; ENERGY SOURCES; FOSSIL FUELS; FUELS

Optional Information

Copyright
Copyright (c) 2009 Elsevier Science B.V., Amsterdam, The Netherlands, All rights reserved.