Time-frequency volatility spillovers across the international crude oil market and Chinese major energy futures markets: Evidence from COVID-19

Jingyu Li, Ranran Liu, Yanzhen Yao and Qiwei Xie

Resources Policy, 2022, vol. 77, issue C

Abstract: This study investigates the impact of the recent COVID-19 pandemic on the time-frequency volatility spillovers across the international crude oil market and Chinese major energy futures markets. In addition to the Chinese crude oil market, six other major energy futures markets in China are also considered. Volatility spillover networks are constructed based on the generalized forecast error variance decomposition in the frequency domain. The results demonstrate that the outbreak of COVID-19 strengthened the total volatility spillover across these markets. Interestingly, the volatility spillovers from the international crude oil market to China's markets were found to be overall strong in the long term and to have increased substantially during the pandemic. However, the spillovers across the domestic markets were found to dominate in the short term, even with the occurrence of the pandemic and crude oil price turbulence. The findings suggest that policymakers and investors should be cautious about the diverse impacts of the pandemic at multiple scales.

Keywords: Volatility spillover; Chinese energy futures markets; Variance decomposition in frequency domain; COVID-19 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (29)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0301420722000952
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:jrpoli:v:77:y:2022:i:c:s0301420722000952

DOI: 10.1016/j.resourpol.2022.102646

Access Statistics for this article

Resources Policy is currently edited by R. G. Eggert

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