Dynamic linkage and extreme risk spillover between international crude oil futures and clean product tanker markets

Hongyue Guo, Nana Guo, Wenjuan Jia, Bin Meng and Cong Sui

Maritime Policy & Management, 2026, vol. 53, issue 3, 559-585

Abstract: In this study, a combination of quantile regression and spillover index methods is employed to delve into extreme volatility spillovers between crude oil futures (WTI and Brent) and clean product tanker markets. The findings reveal that volatility connectedness at the conditional mean and median levels remains relatively modest, while volatility spillovers are notably stronger at the lower and upper quantile estimates. Specifically, during periods of extremely bullish markets, robust correlations emerge between WTI and Brent futures and the clean product tanker markets. The product tanker market is found to play a significant role in influencing fluctuations in the prices of crude oil futures during these periods, highlighting a dynamic interplay between these markets. Furthermore, this study uncovers that the volatility spillover across markets is time-varying and susceptible to major contingencies. This nuanced understanding of extreme volatility spillovers provides valuable insights for market participants, allowing for a more informed approach to risk management and strategic decision-making in response to fluctuations in crude oil futures and clean product tanker markets.

Date: 2026
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DOI: 10.1080/03088839.2025.2516642

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