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The Dynamics of the Chinese and Global Crude Oil Market Integration - Evidence From a DCC-MIDAS Model

Author

Listed:
  • Xiaohang Ren
  • Jingxuan Cao
  • Kun Duan

    (School of Business, Central South University, China)

Abstract

This paper studies the correlation between Chinese crude oil futures and international benchmarks using DCC-MIDAS models. We find that the correlation between the Chinese and international crude oil markets heightened during the COVID-19 outbreak and peaked in June 2020. As the intensity of the pandemic in China weakened, the oil market correlation weakened as well. However, as international oil prices increased from October 2021 afterwards, the oil market correlation heightened.

Suggested Citation

  • Xiaohang Ren & Jingxuan Cao & Kun Duan, 2024. "The Dynamics of the Chinese and Global Crude Oil Market Integration - Evidence From a DCC-MIDAS Model," Energy RESEARCH LETTERS, Asia-Pacific Applied Economics Association, vol. 5(1), pages 1-6.
    • Handle: RePEc:ayb:jrnerl:98
    DOI: 2024/07/10
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    References listed on IDEAS

    as
    1. Wen, Fenghua & Tong, Xi & Ren, Xiaohang, 2022. "Gold or Bitcoin, which is the safe haven during the COVID-19 pandemic?," International Review of Financial Analysis, Elsevier, vol. 81(C).
    2. Caporin, Massimiliano & Fontini, Fulvio & Talebbeydokhti, Elham, 2019. "Testing persistence of WTI and Brent long-run relationship after the shale oil supply shock," Energy Economics, Elsevier, vol. 79(C), pages 21-31.
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    More about this item

    Keywords

    Crude oil futures market; Market integration; DCC-MIDAS;
    All these keywords.

    JEL classification:

    • Q50 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - General

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