How do China's oil markets affect other commodity markets both domestically and internationally?

Qiang Ji and Ying Fan

Finance Research Letters, 2016, vol. 19, issue C, 247-254

Abstract: This study investigates the contemporaneous causality between China's oil markets with other commodity markets both domestically and internationally using an error correction model combined with a directed acyclic graph technique. The results indicate that China's oil markets are cointegrated with other commodity markets both domestically and internationally. The impact of China's fuel oil futures market on other domestic commodity markets is great when oil prices are high, but the influence is comparatively weak when oil prices are lower. However, due to the lack of futures market, China's crude oil market has little influence on other commodity markets at any time.

Keywords: Information transmission; Directed acyclic graph method; Commodity market (search for similar items in EconPapers)
JEL-codes: G15 Q4 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (27)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:19:y:2016:i:c:p:247-254

DOI: 10.1016/j.frl.2016.08.009

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