The Time-Varying Connectedness Between China’s Crude Oil Futures and International Oil Markets: A Return and Volatility Spillover Analysis

Jiasha Fu () and Hui Qiao ()
Additional contact information
Jiasha Fu: Southwestern University of Finance and Economics
Hui Qiao: Southwestern University of Finance and Economics

Letters in Spatial and Resource Sciences, 2022, vol. 15, issue 3, No 4, 376 pages

Abstract: Abstract This paper examines the relationship between world crude oil markets following the introduction of Shanghai crude oil futures from the perspective of network connectedness based on the vector autoregressive model. The connectedness measurement method proposed by Diebold and Yilmaz (Econ J 119(534):158–171, 2009, Int J Forecast 28(1):57–66, 2012. https://doi.org/10.1016/j.ijforecast.2011.02.006 , J Econom 182(1):119–134, 2014. https://doi.org/10.1016/j.jeconom.2014.04.012 ) is adopted to study a time-varying interdependence relationship. The empirical results show that the world crude oil markets exhibit a high degree of integration from both returns and volatility; however, the direction and magnitude contributed by each market varies significantly. Specifically, the West Texas Intermediate futures and Brent spot and futures markets were found to have the highest contributions to the world oil market over the entire sample period and take leading roles, whereas Dubai futures market was found to be the most important receiver, and has received the most spillover from other markets and passed it throughout the system. Shanghai crude oil futures is not yet highly connected with other markets. Moreover, heterogeneous changes in the direction, intensity, and persistence of the spillover were observed across markets after the outbreak of the COVID-19 pandemic in 2020. This study reveals the integration level of Shanghai crude oil futures and the dynamics of linkages between regional crude oil markets, which is of great significance for market participants, policymakers, and future researchers.

Keywords: Market integration; Information spillover; Shanghai crude oil futures; Connectedness; Contagion; COVID-19 (search for similar items in EconPapers)
JEL-codes: G14 G15 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://link.springer.com/10.1007/s12076-021-00288-z Abstract (text/html)
Access to the full text of the articles in this series is restricted.

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:spr:lsprsc:v:15:y:2022:i:3:d:10.1007_s12076-021-00288-z

Ordering information: This journal article can be ordered from
http://www.springer.com/economics/journal/12076

DOI: 10.1007/s12076-021-00288-z

Access Statistics for this article

Letters in Spatial and Resource Sciences is currently edited by Henk Folmer and Amitrajeet A. Batabyal

More articles in Letters in Spatial and Resource Sciences from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().