IDEAS home Printed from https://ideas.repec.org/p/hal/wpaper/hal-03500719.html
   My bibliography  Save this paper

Does Something Change in the Oil Market with the Covid-19 Crisis ?

Author

Listed:
  • Dan Zhang

    (IFP School)

  • Frédéric Lantz

    (IFP School, IFPEN - IFP Energies nouvelles)

  • Arash Farnoosh

    (IFP School, IFPEN - IFP Energies nouvelles)

Abstract

This paper examines the price discovery of three international crude oil futures markets (WTI, Brent, INE) before and after the outbreak of the COVID-19 with the application of information share and component share model. Our study shows that there is a structural break of the date of 6th of March,2020 in each price series with Zivot and Andrew's unit root test. Using Gregory and Hansen cointegration tests, cointegration relationships with structural break in May,2020 are detected. According to results of IS and CS model of Yan and Zviot (2010), Brent futures price mainly plays a leading role of WTI and INE futures price and occupies an absolute dominant position all the time in the three crude oil futures markets systems. In the post-covid period, the price discovery efficiency of INE has been improved slightly but is still weak compared with other two markets. After the outbreak of COVID-19, the dominant position in price contribution in the relationship with INE has transferred from Brent to WTI. These findings offer practical implications for regulators and portfolio risk managers during the unprecedented uncertainty period provoked by the COVID-19 pandemic.

Suggested Citation

  • Dan Zhang & Frédéric Lantz & Arash Farnoosh, 2021. "Does Something Change in the Oil Market with the Covid-19 Crisis ?," Working Papers hal-03500719, HAL.
    • Handle: RePEc:hal:wpaper:hal-03500719
    Note: View the original document on HAL open archive server: https://ifp.hal.science/hal-03500719
    as

    Download full text from publisher

    File URL: https://ifp.hal.science/hal-03500719/document
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Oil Market; Price discovery; Structural Break;
    All these keywords.

    NEP fields

    This paper has been announced in the following NEP Reports:

    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:hal:wpaper:hal-03500719. 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.

    We have no bibliographic references for this item. You can help adding them by using 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: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    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.