Commodity connectedness of the petrochemical industrial chain: A novel perspective of “good” and “bad” volatility surprises

Jie Yang, Yun Feng and Hao Yang

Finance Research Letters, 2024, vol. 67, issue PB

Abstract: This paper uses the TVP-VAR-DY approach to investigate the risk transmission among seven China's petrochemical commodities futures, i.e., crude oil and its six downstream products, from the perspective of “good” and “bad” unexpected volatility spillovers. The results show that there are great differences between the dynamics of “good” and “bad” volatility surprise transmission. Linear low-density polyethylene and polypropylene tended to behave as net risk transmitters, and asphalt, PTA, and PVC tended to reactively receive the information spillovers. China's petrochemical commodity futures system was vulnerable to the violent shocks of international oil prices provoked by extreme events.

Keywords: Oil industrial chain; Petrochemical commodity futures; Volatility surprise; Risk transmission (search for similar items in EconPapers)
JEL-codes: C32 G11 Q43 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:67:y:2024:i:pb:s1544612324009243

DOI: 10.1016/j.frl.2024.105894

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