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Return and volatility spillovers between china and world oil markets

Bing Zhang and Peijie Wang

Economic Modelling, 2014, vol. 42, issue C, 413-420

Abstract: We examine return and volatility spillovers between China and world oil markets. This topic is of great importance because China is the world's second-largest oil importer and has exhibited substantial growth in oil consumption. Extending Diebold and Yilmaz's (2012) method of catching spillover dynamics, it is found that return and volatility spillovers between China and world oil markets are bi-directional and asymmetric. The Chinese oil market is highly affected by world oil markets and exerts an influence on world oil markets, although to a lesser extent. Moreover, the volatility spillover index has increased significantly since the peak of the last financial crisis in September 2008. Although the US oil market impacts China's market most in terms of spillover, the influence of China's oil market on the world oil market has intensified in recent years.

Keywords: China; World oil market; Spillover index; Financial crisis; Volatility (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:42:y:2014:i:c:p:413-420

DOI: 10.1016/j.econmod.2014.07.013

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