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Multiscale dynamic interdependency between China’s crude oil futures and petrochemical-related commodity futures: An integrated perspective from the industry chain system

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  • Yang, Jie
  • Feng, Yun
  • Yang, Hao

Abstract

This paper examines the coupling of China’s petrochemical-related commodity futures from the perspective of an integrated system as well as the multiscale interdependency between this system and Shanghai crude oil futures (SCM) with two globally influential benchmarks, i.e., Brent and WTI, as comparisons. Our methods innovatively build on the multifractal theory and provide in-depth analysis across various time scales. The results show the dynamic coupling of China’s oil industry chain system (ICS) can reflect its level of systemic risk concentration well. The greater the time scale, the stronger the coupling. The abrupt deterioration of the external economic environment enhanced the impact of crude oil on the ICS, but the impact from SCM increased the most. Furthermore, the higher dependency preference of ICS for SCM confirms the effectiveness of this emerging futures market in reflecting domestic oil supply and demand but continuously weakens as the time scale increases, indicating the dominance of Brent and WTI in the long run.

Suggested Citation

  • Yang, Jie & Feng, Yun & Yang, Hao, 2025. "Multiscale dynamic interdependency between China’s crude oil futures and petrochemical-related commodity futures: An integrated perspective from the industry chain system," The North American Journal of Economics and Finance, Elsevier, vol. 75(PA).
    • Handle: RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824002213
    DOI: 10.1016/j.najef.2024.102296
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    Keywords

    Shanghai crude oil futures; Crude oil industry chain; Multiscale coupling; Dependency preference; Multifractal analysis;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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