Intra-day co-movements of crude oil futures: China and the international benchmarks

Qiang Ji (), Dayong Zhang and Yuqian Zhao ()
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Qiang Ji: Chinese Academy of Sciences
Yuqian Zhao: University of Essex

Annals of Operations Research, 2022, vol. 313, issue 1, No 5, 77-103

Abstract: Abstract Investigating the co-movements between crude oil futures helps to understand the integration of the global markets. This paper focuses on Shanghai crude oil futures (INE) and study its co-movements with the international benchmarks of WTI and Brent crude oil futures in intra-day day and night trading sessions. A complex network model framework is proposed to analyse the intra-day co-movement patterns labelled by a functional data clustering approach on intra-day return curves. Our findings indicate INE is more integrated with the global market during the night session, but it shows a regional fractional effect during the day session. Based on the revealed dynamics of co-movement patterns, we further design a pairs trading strategy between INE crude oil futures and the international benchmarks. The simulation results show that the pairs trading strategy can be promisingly profitable, even during market turmoil phases.

Keywords: INE Crude oil futures; WTI and Brent; Intra-day co-movement patterns; Complex network model; Pairs trading (search for similar items in EconPapers)
JEL-codes: C12 C52 G11 G15 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (15)

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DOI: 10.1007/s10479-021-04097-x

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