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Return and volatility transmission between China's and international crude oil futures markets: A first look

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  • Jian Yang
  • Yinggang Zhou

Abstract

We examine return and volatility transmission between the newly established crude oil futures in China and international major crude oil futures markets using intraday data. For the first time, we document evidence for cointegration relationships among these oil futures markets. Both China's and Oman's oil futures markets react to deviations from their long‐run equilibrium with West Texas Intermediate and Brent oil futures. There is also new evidence for asymmetric volatilities and correlations across these oil futures markets. Furthermore, the Chinese oil futures have stronger linkages with the international major futures markets than Oman futures.

Suggested Citation

  • Jian Yang & Yinggang Zhou, 2020. "Return and volatility transmission between China's and international crude oil futures markets: A first look," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(6), pages 860-884, June.
    • Handle: RePEc:wly:jfutmk:v:40:y:2020:i:6:p:860-884
    DOI: 10.1002/fut.22103
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