The effectiveness of crude oil futures hedging during infectious disease outbreaks in the 21st century
研究了21世纪传染病爆发期间原油期货的对冲效果，发现新冠疫情对原油市场条件波动率的冲击大于SARS和甲流，且疫情后市场条件相关性下降，削弱了期货的对冲作用。
Abstract 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.