The Dynamics of the Chinese and Global Crude Oil Market Integration - Evidence From a DCC-MIDAS Model

Xiaohang Ren, Jingxuan Cao and Kun Duan ()
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Kun Duan: School of Business, Central South University, China

Energy RESEARCH LETTERS, 2024, vol. 5, issue 1, 1-6

Abstract: This paper studies the correlation between Chinese crude oil futures and international benchmarks using DCC-MIDAS models. We find that the correlation between the Chinese and international crude oil markets heightened during the COVID-19 outbreak and peaked in June 2020. As the intensity of the pandemic in China weakened, the oil market correlation weakened as well. However, as international oil prices increased from October 2021 afterwards, the oil market correlation heightened.

Keywords: Crude oil futures market; Market integration; DCC-MIDAS (search for similar items in EconPapers)
JEL-codes: Q50 (search for similar items in EconPapers)
Date: 2024
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