Extreme risk spillover between chinese and global crude oil futures

This paper investigates the risk spillover between China's crude oil futures and international crude oil futures by constructing upside and downside VaR connectedness networks. The findings show that China's crude oil futures behave as a net risk receiver in the global crude oil system, in...

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Detalles Bibliográficos
Autores principales: Yang, Yuying, Ma, Yan-Ran, Hu, Min, Zhang, Dayong, Ji, Qiang
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2021
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7456448/
https://www.ncbi.nlm.nih.gov/pubmed/32904491
http://dx.doi.org/10.1016/j.frl.2020.101743
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author Yang, Yuying
Ma, Yan-Ran
Hu, Min
Zhang, Dayong
Ji, Qiang
author_facet Yang, Yuying
Ma, Yan-Ran
Hu, Min
Zhang, Dayong
Ji, Qiang
author_sort Yang, Yuying
collection PubMed
description This paper investigates the risk spillover between China's crude oil futures and international crude oil futures by constructing upside and downside VaR connectedness networks. The findings show that China's crude oil futures behave as a net risk receiver in the global crude oil system, in which Brent and WTI play the leading roles in risk transmission in the system. The dynamic results indicate that the risk spillover between Chinese and international crude oil futures presents obvious time-varying characteristics and has risen sharply since the beginning of 2020, induced by the COVID-19 pandemic.
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spelling pubmed-74564482020-08-31 Extreme risk spillover between chinese and global crude oil futures Yang, Yuying Ma, Yan-Ran Hu, Min Zhang, Dayong Ji, Qiang Financ Res Lett Article This paper investigates the risk spillover between China's crude oil futures and international crude oil futures by constructing upside and downside VaR connectedness networks. The findings show that China's crude oil futures behave as a net risk receiver in the global crude oil system, in which Brent and WTI play the leading roles in risk transmission in the system. The dynamic results indicate that the risk spillover between Chinese and international crude oil futures presents obvious time-varying characteristics and has risen sharply since the beginning of 2020, induced by the COVID-19 pandemic. Elsevier Inc. 2021-05 2020-08-30 /pmc/articles/PMC7456448/ /pubmed/32904491 http://dx.doi.org/10.1016/j.frl.2020.101743 Text en © 2020 Elsevier Inc. All rights reserved. Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active.
spellingShingle Article
Yang, Yuying
Ma, Yan-Ran
Hu, Min
Zhang, Dayong
Ji, Qiang
Extreme risk spillover between chinese and global crude oil futures
title Extreme risk spillover between chinese and global crude oil futures
title_full Extreme risk spillover between chinese and global crude oil futures
title_fullStr Extreme risk spillover between chinese and global crude oil futures
title_full_unstemmed Extreme risk spillover between chinese and global crude oil futures
title_short Extreme risk spillover between chinese and global crude oil futures
title_sort extreme risk spillover between chinese and global crude oil futures
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7456448/
https://www.ncbi.nlm.nih.gov/pubmed/32904491
http://dx.doi.org/10.1016/j.frl.2020.101743
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