Return and volatility spillovers between china and world oil markets |
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| Institution: | 1. Department of Finance and Insurance, Nanjing University, PR China;2. School of Management, University of Plymouth, UK;1. Newhuadu Business School, Minjiang University, Fuzhou 350108, China;2. Collaborative Innovation Center for Energy Economics and Energy Policy, China Institute for Studies in Energy Policy, Xiamen University, Xiamen, Fujian, 361005, PR China;3. China Center for Energy Economics Research, College of Economics, Xiamen University, Xiamen 361005, China;4. Department of Economics, University of Liberia, Capitol Hill, Monrovia, Liberia;5. Wang Yanan Institute for Studies in Economics, Xiamen University, Xiamen 361005, China;6. School of Business, University of Cape Coast, Cape Coast, Ghana;1. School of Economics and Management, Nanjing University of Science and Technology, Nanjing, China;2. School of Finance, Nanjing Audit University, Nanjing, China;3. Jiangsu key laboratory of financial engineering, Nanjing Audit University, Nanjing, China;4. School of Economics and Management, Southwest Jiao Tong University, Chengdu, China;5. Antai College of Economics and Management, Shanghai Jiao Tong University, Shanghai, China |
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| Abstract: | We examine return and volatility spillovers between China and world oil markets. This topic is of great importance because China is the world's second-largest oil importer and has exhibited substantial growth in oil consumption. Extending Diebold and Yilmaz's (2012) method of catching spillover dynamics, it is found that return and volatility spillovers between China and world oil markets are bi-directional and asymmetric. The Chinese oil market is highly affected by world oil markets and exerts an influence on world oil markets, although to a lesser extent. Moreover, the volatility spillover index has increased significantly since the peak of the last financial crisis in September 2008. Although the US oil market impacts China's market most in terms of spillover, the influence of China's oil market on the world oil market has intensified in recent years. |
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