一篇有关金融衍生产品在石油方面的运用，作者：Ronald D. Ripple and Imad A. Moosa, La Trobe University

This paper examines the effect of the maturity of the futures contact used as the
hedging instrument on the effectiveness of futures hedging. For this purpose, daily
and monthly data on the WTI crude oil futures and spot prices are used to work out
the hedge ratios and the measures of hedging effectiveness resulting from using the
near-month contract and those resulting from the use of a more distant (six-month)
contract. The results show that futures hedging is more effective when the near-month
contract is used. They also reveal that hedge ratios are lower for near-month hedging.
Some explanations are presented for these findings.

[此贴子已经被作者于2007-10-30 1:34:01编辑过]