The effectiveness of crude oil futureshedging during infectious disease outbreaks in the 21st century

You How Go, Jia Jun Teo, Kam Chan

Research output: Contribution to journalArticlepeer-review


This study analyzes the hedging effectiveness of crude oil futures during infectious disease outbreaks in the 21st century. The conditional volatility of crude oil markets experienced a greater shock during the coronavirus disease 2019 (COVID-19) pandemic than during the severe acute respiratory syndrome and swine-origin influenza A outbreaks. The sharp decline in the conditional correlation of crude oil markets following the onset of COVID-19 increases the persistence of shocks to correlations, thereby diminishing the effectiveness of futures contracts as a hedging instrument. © 2023 Wiley Periodicals LLC.
Original languageEnglish
Pages (from-to)1559-1575
Number of pages17
JournalJournal of Futures Markets
Issue number11
Publication statusPublished - Nov 2023

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