The Co-movement Between Chinese Oil Market and Other Main International Oil Markets: A DCC-MGARCH Approach

Malin Song, Kuangnan Fang, Jing Zhang () and Jianbin Wu
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Malin Song: Anhui University of Finance & Economics
Kuangnan Fang: Xiamen University
Jing Zhang: Xiamen University
Jianbin Wu: University of Leuven

Computational Economics, 2019, vol. 54, issue 4, No 3, 1303-1318

Abstract: Abstract In this paper, the dynamic relationship between Chinese oil market and the main international oil market is investigated. The analysis is based on weekly price series and DCC-MGARCH approach is used to model the volatility and the co-movement relationship among Daqing (China), West Texas, Brent, and Dubai crude oil markets during a period from 1997 to 2011. Empirical results indicate that Daqing crude oil market has a significant high dynamic correlation with Dubai crude oil market, while the dynamic correlation with European and American markets is low. In particular, the co-movement of Daqing crude oil market with international crude oil market has been strengthened since the Tenth “Five year plan” in China. Moreover, all of the three main international oil markets are the granger cause of the Chinese oil market.

Keywords: Oil market; Co-movement; DCC-MGARCH (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (5)

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DOI: 10.1007/s10614-016-9564-5

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