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Return and volatility transmission between China's and international crude oil futures markets: A first look
Author(s) -
Yang Jian,
Zhou Yinggang
Publication year - 2020
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/fut.22103
Subject(s) - futures contract , cointegration , volatility (finance) , crude oil , china , economics , financial economics , brent crude , forward market , oil storage trade , oil price , monetary economics , econometrics , geography , engineering , petroleum engineering , archaeology
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.