Extreme risk spillover between chinese and global crude oil futures.
Financ Res Lett
; 40: 101743, 2021 May.
Article
in English
| MEDLINE | ID: covidwho-733850
ABSTRACT
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.
Full text:
Available
Collection:
International databases
Database:
MEDLINE
Type of study:
Prognostic study
Language:
English
Journal:
Financ Res Lett
Year:
2021
Document Type:
Article
Affiliation country:
J.frl.2020.101743
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