IDEAS home Printed from https://ideas.repec.org/a/ayb/jrnerl/98.html
   My bibliography  Save this article

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
    as

    Download full text from publisher

    File URL: https://erl.scholasticahq.com/api/v1/articles/37695-the-dynamics-of-the-chinese-and-global-crude-oil-market-integration-evidence-from-a-dcc-midas-model.pdf
    Download Restriction: no
    File URL: https://libkey.io/2024/07/10?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. 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.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Mastroeni, Loretta & Mazzoccoli, Alessandro & Quaresima, Greta & Vellucci, Pierluigi, 2021. "Decoupling and recoupling in the crude oil price benchmarks: An investigation of similarity patterns," Energy Economics, Elsevier, vol. 94(C).
    2. 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.
    3. Guo, Yawei & Li, Jianping & Li, Yehua & You, Wanhai, 2021. "The roles of political risk and crude oil in stock market based on quantile cointegration approach: A comparative study in China and US," Energy Economics, Elsevier, vol. 97(C).
    4. Caporin, Massimiliano & Fontini, Fulvio & Panzica, Roberto, 2023. "The systemic risk of US oil and natural gas companies," Energy Economics, Elsevier, vol. 121(C).
    5. Malkidis, Stavros & Fountas, Stilianos, 2020. "Liquid fuel price adjustment in Greece: A two-stage, threshold cointegration approach," The Journal of Economic Asymmetries, Elsevier, vol. 22(C).
    6. Ioannis Chatziantoniou & David Gabauer & Rangan Gupta, 2021. "Integration and Risk Transmission in the Market for Crude Oil: A Time-Varying Parameter Frequency Connectedness Approach," Working Papers 202147, University of Pretoria, Department of Economics.
    7. Caporina, Massimiliano & Costola, Michele, 2021. "Time-varying granger causality tests for applications in global crude oil markets: A study on the DCC-MGARCH Hong test," SAFE Working Paper Series 324, Leibniz Institute for Financial Research SAFE.
    8. Zhang, Wenbei & Qiu, Feng, 2024. "Rockets and Feathers in the Oil and Gasoline Markets: In-Depth Analysis of Three Asymmetries," 2024 Annual Meeting, July 28-30, New Orleans, LA 344062, Agricultural and Applied Economics Association.
    9. Luo, Keyu & Ye, Yong, 2024. "How responsive are retail electricity prices to crude oil fluctuations in the US? Time-varying and asymmetric perspectives," Research in International Business and Finance, Elsevier, vol. 69(C).
    10. Caporin, Massimiliano & Costola, Michele, 2022. "Time-varying Granger causality tests in the energy markets: A study on the DCC-MGARCH Hong test," Energy Economics, Elsevier, vol. 111(C).
    11. Zhang, Wenbei & Luckert, Marty & Qiu, Feng, 2023. "Asymmetric price transmission and impulse responses from U.S. crude oil to jet fuel and diesel markets," Energy, Elsevier, vol. 283(C).
    12. Chatziantoniou, Ioannis & Gabauer, David & Gupta, Rangan, 2023. "Integration and risk transmission in the market for crude oil: New evidence from a time-varying parameter frequency connectedness approach," Resources Policy, Elsevier, vol. 84(C).
    13. Gao, Xin & Li, Bingxin & Liu, Rui, 2023. "The relative pricing of WTI and Brent crude oil futures: Expectations or risk premia?," Journal of Commodity Markets, Elsevier, vol. 30(C).
    14. Chatziantoniou, Ioannis & Gabauer, David & Perez de Gracia, Fernando, 2022. "Tail risk connectedness in the refined petroleum market: A first look at the impact of the COVID-19 pandemic," Energy Economics, Elsevier, vol. 111(C).
    15. Jerome Geyer‐Klingeberg & Andreas W. Rathgeber, 2021. "Determinants of the WTI‐Brent price spread revisited," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(5), pages 736-757, May.
    16. Cheng, Xian & Wu, Peng & Liao, Stephen Shaoyi & Wang, Xuelian, 2023. "An integrated model for crude oil forecasting: Causality assessment and technical efficiency," Energy Economics, Elsevier, vol. 117(C).
    17. Kumar, Satish, 2022. "Speed of adjustment in energy and metal prices: Evidence from India," Resources Policy, Elsevier, vol. 78(C).

    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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ayb:jrnerl:98. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Asia-Pacific Applied Economics Association (email available below). General contact details of provider: https://edirc.repec.org/data/apaeaea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.