Global financial uncertainties and China’s crude oil futures market: Evidence from interday and intraday price dynamics

Kun Yang, Yu Wei, Shouwei Li, Liang Liu and Lei Wang

Energy Economics, 2021, vol. 96, issue C

Abstract: This paper investigates the impacts of five global financial market uncertainties on the interday and intraday price dynamics of newly launched China’s crude oil futures, using both conventional causality tests and a novel nonparametric causality-in-quantiles test. The empirical results show that, first, the international stock, oil and gold market uncertainties Granger cause China’s crude oil futures returns. However, the international silver and exchange rate market uncertainties have no such effect. Second, China’s crude oil futures volatility, including interday volatility, intraday volatility and its components, moves tightly with all the global financial uncertainties. Third, concerning the asymmetries of Granger causal relationships, the impacts of financial uncertainties on the different conditional distributions of China’s crude oil futures series appear as saddle shapes in general. Then, the financial uncertainties exert significant effects on oil intraday volatility mainly through jump components instead of continuous volatility. Finally, the bad volatility of China’s crude oil futures is more susceptible to global financial uncertainties than good volatility. All the conclusions are robust after further controlling the effects of economic policy uncertainty and adopting alternative uncertainty measures based on the unpredictable components of asset returns or based on public sentiment.

Keywords: China’s crude oil futures; Financial uncertainty; Nonparametric causality-in-quantiles test; Interday and intraday price dynamics (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0140988321000542
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:96:y:2021:i:c:s0140988321000542

DOI: 10.1016/j.eneco.2021.105149

Access Statistics for this article

Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant

More articles in Energy Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().