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

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.