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Are Chinese and international oil markets integrated?

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  • Zhang, Bing

Abstract

We investigate the integration between Chinese and WTI oil markets by testing for return and volatility spillovers. Using the Diebold and Yilmaz test (2012), we find strong asymmetry in the relationship between these two markets. Most variations in the Daqing oil market return and volatility result from innovations in WTI oil futures markets, but the effects of the Daqing oil market on WTI markets are small. We also employ the rolling-window technique and examine the time-variation property of the spillover index because certain extreme events, such as the recent financial crisis, can result in sudden changes in the spillover index. We also examine the spillover index for large fluctuations. Overall, our findings do not support oil market integration.

Suggested Citation

  • Zhang, Bing, 2019. "Are Chinese and international oil markets integrated?," International Review of Economics & Finance, Elsevier, vol. 62(C), pages 41-52.
    • Handle: RePEc:eee:reveco:v:62:y:2019:i:c:p:41-52
    DOI: 10.1016/j.iref.2019.02.015
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    Cited by:

    1. Cui, Jinxin & Maghyereh, Aktham, 2023. "Time-frequency dependence and connectedness among global oil markets: Fresh evidence from higher-order moment perspective," Journal of Commodity Markets, Elsevier, vol. 30(C).
    2. Yang, Kun & Wei, Yu & Li, Shouwei & Liu, Liang & Wang, Lei, 2021. "Global financial uncertainties and China’s crude oil futures market: Evidence from interday and intraday price dynamics," Energy Economics, Elsevier, vol. 96(C).
    3. Duan, Kun & Ren, Xiaohang & Wen, Fenghua & Chen, Jinyu, 2023. "Evolution of the information transmission between Chinese and international oil markets: A quantile-based framework," Journal of Commodity Markets, Elsevier, vol. 29(C).
    4. Corbet, Shaen & Hou, Yang (Greg) & Hu, Yang & Oxley, Les, 2022. "The growth of oil futures in China: Evidence of market maturity through global crises," Energy Economics, Elsevier, vol. 114(C).
    5. Qiang Ji & Dayong Zhang & Yuqian Zhao, 2022. "Intra-day co-movements of crude oil futures: China and the international benchmarks," Annals of Operations Research, Springer, vol. 313(1), pages 77-103, June.

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