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New insights into price drivers of crude oil futures markets: Evidence from quantile ARDL approach

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  • Hao-Lin Shao
  • Ying-Hui Shao
  • Yan-Hong Yang

Abstract

This paper investigates the cointegration between possible determinants of crude oil futures prices during the COVID-19 pandemic period. We perform comparative analysis of WTI and newly-launched Shanghai crude oil futures (SC) via the Autoregressive Distributed Lag (ARDL) model and Quantile Autoregressive Distributed Lag (QARDL) model. The empirical results confirm that economic policy uncertainty, stock markets, interest rates and coronavirus panic are important drivers of WTI futures prices. Our findings also suggest that the US and China's stock markets play vital roles in movements of SC futures prices. Meanwhile, CSI300 stock index has a significant positive short-run impact on SC futures prices while S\&P500 prices possess a positive nexus with SC futures prices both in long-run and short-run. Overall, these empirical evidences provide practical implications for investors and policymakers.

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  • Hao-Lin Shao & Ying-Hui Shao & Yan-Hong Yang, 2021. "New insights into price drivers of crude oil futures markets: Evidence from quantile ARDL approach," Papers 2110.02693, arXiv.org.
    • Handle: RePEc:arx:papers:2110.02693
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    Cited by:

    1. Ying-Hui Shao & Ying-Lin Liu & Yan-Hong Yang, 2023. "Visibility graph analysis of crude oil futures markets: Insights from the COVID-19 pandemic and Russia-Ukraine conflict," Papers 2310.18903, arXiv.org, revised Apr 2024.
    2. Marina V. Vasiljeva & Vadim V. Ponkratov & Larisa A. Vatutina & Maria V. Volkova & Marina I. Ivleva & Elena V. Romanenko & Nikolay V. Kuznetsov & Nadezhda N. Semenova & Elena F. Kireeva & Dmitrii K. G, 2022. "Crude Oil Market Functioning and Sustainable Development Goals: Case of OPEC++-Participating Countries," Sustainability, MDPI, vol. 14(8), pages 1-23, April.

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