 The impact of COVID‐19 on the interdependence between US and Chinese oil futures marketsYongmin Zhang, Shusheng Ding and Haili Shi Journal of Futures Markets, 2022, vol. 42, issue 11, 2041-2052 Abstract: The oil futures market plays a vital role in the global financial system, especially after the negative future oil price rose during the COVID‐19 pandemic. This paper investigates the COVID‐19 impact on the interdependence between the US and Chinese oil futures markets by extending the dynamic conditional correlation‐generalized autoregressive conditional heteroskedasticity (DCC‐GARCH) models with incorporating COVID‐19 variables and by applying vector autoregression (VAR) models. Our study reveals that the COVID‐19 pandemic enhanced the long‐run correlation between the two oil markets. In contrast, daily changes in pandemic severity had a negative effect on the short‐term transient correlation. Our results show that COVID‐19 changed the one‐direction causality from the US oil market to the Chinese market in the pre‐COVID period to a bidirectional causal relation between the two markets during the COVID period. It strengthened the volatility spillover effect from the Chinese to US markets. These findings are helpful to regulars' monitoring oil supply chain risk and investors' cross‐market hedging of spillover risks from a systematic risk perspective. Date: 2022 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:wly:jfutmk:v:42:y:2022:i:11:p:2041-2052 Ordering information: This journal article can be ordered from Access Statistics for this article Journal of Futures Markets is currently edited by Robert I. Webb More articles in Journal of Futures Markets from John Wiley & Sons, Ltd. |
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