Return and volatility transmission between China's and international crude oil futures markets: A first look |
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Authors: | Jian Yang Yinggang Zhou |
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Institution: | 1. J.P. Morgan Center for Commodities, The Business School, University of Colorado Denver, Denver, Colorado;2. Center for Macroeconomic Research, Department of Finance, School of Economics (SOE), Xiamen University, Xiamen, China |
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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. |
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Keywords: | asymmetry cointegration conditional correlation oil futures |
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