The information content of Shanghai crude oil futures vs WTI benchmark: Evidence from temporal and spatial dimensions

Libo Yin, Hong Cao and Yumei Guo

Energy Economics, 2024, vol. 132, issue C

Abstract: This study investigates and compares the informational impact of Chinese crude oil futures with that of the West Texas Intermediate (WTI) benchmark using a ripple-spreading network model in the temporal and spatial dimensions. Based on the findings, Shanghai crude oil futures (SHO) play an informational role in global stock markets, with 15 of 16 global stock markets directly affected by crude oil innovations from the SHO market. However, the information content of SHO futures had a 6.25% lower reach compared with the WTI market; additionally, the average time taken for the impact from the SHO market was 20.36% slower than that of the WTI market.

Keywords: Shanghai crude oil futures; Informational role; Ripple-spreading network model; West Texas intermediate benchmark (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324002007

DOI: 10.1016/j.eneco.2024.107492

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