scholarly journals Dynamic Connectedness of International Crude Oil Prices: The Diebold–Yilmaz Approach

2018 ◽  
Vol 10 (9) ◽  
pp. 3298 ◽  
Author(s):  
Xiaoyong Xiao ◽  
Jing Huang
Keyword(s):  
Crude Oil ◽  
Oil Prices ◽  
Risk Measurement ◽  
Time Varying ◽  
Measurement Framework ◽  
West Texas ◽  
Crude Oil Prices ◽  
Oil Markets ◽  
Network Connectedness ◽  
Market Shocks

Connectedness is the key to modern risk measurement and management. This study investigates the international connectedness of crude oil prices and explores its time-varying characteristics based on a connectedness measurement framework using daily international crude oil prices. The international connectedness of crude oil prices is investigated from three perspectives: total connectedness, total directional connectedness, and pairwise directional connectedness. We find that the total connectedness of crude oil prices is 67.3%. We also find that the crude oil prices of Tapes, Daqing, Dubai and Minas are highly affected by Brent and WTI (West Texas Intermediate) crude oil prices. Furthermore, WTI and Brent are the price makers of international crude oil prices, while Tapes, Daqing, Dubai and Minas are price takers. From the perspective of pairwise directional connectedness, we find that the degree of pairwise directional connectedness between Brent and WTI are high. Finally, the structure of international crude oil markets stays the same even after market shocks. The main contributions of this study are identification of dynamic connectedness and presentation of the network connectedness of international crude oil prices.

An empirical model of daily highs and lows of West Texas Intermediate crude oil prices

2010 ◽  
Vol 32 (6) ◽  
pp. 1499-1506 ◽  
Author(s):  
Angela W.W. He ◽  
Jerry T.K. Kwok ◽  
Alan T.K. Wan
Keyword(s):  
Crude Oil ◽  
Empirical Model ◽  
Oil Prices ◽  
West Texas ◽  
Crude Oil Prices

scholarly journals Dynamic Interrelationship and Volatility Spillover among Sustainability Stock Markets, Major European Conventional Indices, and International Crude Oil

2020 ◽  
Vol 12 (9) ◽  
pp. 3908 ◽  
Author(s):  
Basel Maraqa ◽  
Murad Bein
Keyword(s):  
Crude Oil ◽  
Stock Returns ◽  
Global Financial Crisis ◽  
Oil Prices ◽  
Volatility Spillover ◽  
Socially Responsible ◽  
Crude Oil Prices ◽  
Daily Data ◽  
Oil Markets ◽  
The Global Financial Crisis

This study examines the dynamic interrelationship and volatility spillover among stainability stock indices (SSIs), international crude oil prices and major stock returns of European oil-importing countries (UK, Germany, France, Italy, Switzerland and The Netherlands) and oil-exporting countries (Norway and Russia). We employ the DCC-MGARCH model and use daily data for the sample period from 28 September 2001 to 10 January 2020. We find that the dynamic interrelationship between SSIs, stock returns of European oil importing/exporting countries and oil markets is different. There is higher correlation between SSIs and oil-importing countries, while oil-exporting countries have higher correlation with the oil market. Notably, the correlation between oil and stock returns became higher during and after the global financial crisis. This study also reveals the existence of significant volatility spillover between sustainability stock returns, international oil prices and the major indices of oil importing/exporting countries. These results have important implications for investors who are seeking to hedge and diversify their assets and for socially responsible investors.

The Long-Term Dynamics in Crude Oil Prices

2012 ◽  
Vol 260-261 ◽  
pp. 846-851
Author(s):  
Bao Ming Qiao ◽  
Si Zhang ◽  
Hao Jin
Keyword(s):  
Crude Oil ◽  
Oil Prices ◽  
Crude Oil Prices ◽  
Oil Markets ◽  
Increasing Trend ◽  
Empirical Performance ◽  
High Volatility ◽  
Historical Data Analysis ◽  
Jump Diffusion Model

This paper reviews a long-term crude oil markets and trend of dynamic prices during 1986-2011. Based on the hypothesis that crude oil prices dynamics reflect the activity of a competitive market, a jump diffusion model is investigated to examine the empirical performance in a time series. Historical data analysis shows that crude oil prices were characterized by high volatility, high intensity jumps, and strong upward drift, and were concomitant with underlying fundamentals of crude oil markets and world economy. Furthermore, the model forecast that crude oil prices will still have an increasing trend, stay in jump for the next couple of years.

scholarly journals Time-varying relationship between Ukrainian corn and world crude oil prices

2020 ◽  
Vol 184 (7-8) ◽  
pp. 49-57
Author(s):  
Mariusz Hamulczuk ◽  
◽  
Oksana Makarchuk ◽  
Keyword(s):  
Crude Oil ◽  
Corn Oil ◽  
Oil Prices ◽  
Developed Countries ◽  
Correlation Technique ◽  
Time Varying ◽  
Policy Reforms ◽  
Crude Oil Prices ◽  
The World ◽  
Corn Prices

Corn belongs to the most important feed and industrial grains in the world being utilized for bioethanol production. Ukraine does not produce biofuels and does not pursue an active renewable energy policy. However, due to significant share of exports, corn prices in Ukraine can be shaped under the influence of biofuel policies pursued by developed countries, as well as under the influence of world energy markets. Therefore, the aim of the paper is to investigate the mechanisms linking Ukrainian export corn prices with Brent oil prices, as well as to quantitatively assess the nature of this relationship. We were especially interested in possible time-varying relationship between the prices. The price analysis was carried out on the basis of monthly data for the period 2001-2020 with the use of rolling correlation technique and rolling causality tests. The results of this research indicate on time-varying co-movements of Ukrainian corn and Brent crude oil prices. The strongest positive correlations and significant bidirectional causality were observed in 2007-2011. However, in most of sub-periods there were no significant relationships between these prices. Among factors strengthening the price linkages are the low corn-oil price ratios, dynamic increase of corn utilized for ethanol production and depletion of the world corn stocks. The conducted analysis confirmed that changes in biofuel demand in other countries can affect Ukrainian corn market due to horizontal integration of grain markets worldwide. Biofuel policy reforms in the EU aiming at decreasing mandatory blending of conventional biofuels in favor of advanced biofuels can lead to decrease in demand for corn in Ukraine after 2021, leading, in turn, to further weakening of linkage between corn and crude oil prices.

scholarly journals Bubbles in Crude Oil and Commodity Energy Index: New Evidence

Energies ◽  
2020 ◽  
Vol 13 (24) ◽  
pp. 6648
Author(s):  
Christos Floros ◽  
Georgios Galyfianakis
Keyword(s):  
Crude Oil ◽  
Oil Prices ◽  
Energy Index ◽  
West Texas ◽  
Crude Oil Prices ◽  
Augmented Dickey Fuller ◽  
New Evidence

This paper considers a long dataset of both Brent and West Texas Intermediate (WTI) crude oil prices and the Commodity (fuel) energy index (CEI) to identify possible bubbles. Using the Supremum Augmented Dickey–Fuller (SADF) test, we compare results from WTI and Brent with CEI. We prove that the CEI follows Brent crude oil (they provide similar bubble periods) and that Brent is recognized as a crude oil benchmark. Financial managers should incorporate it into their analysis and forecasts. The findings are strongly recommended to energy policymakers and investors.

The dynamic information spill-over effect of WTI crude oil prices on China’s traditional energy sectors

2018 ◽  
Vol 10 (3) ◽  
pp. 516-534 ◽  
Author(s):  
Yue-Jun Zhang ◽  
Yao-Bin Wu
Keyword(s):  
Crude Oil ◽  
Stock Returns ◽  
Oil Prices ◽  
Petroleum Processing ◽  
Time Varying ◽  
Causality Test ◽  
Content Type ◽  
Market Values ◽  
Crude Oil Prices ◽  
Linear And Nonlinear

PurposeThe purpose of this paper is to explore the dynamic influence of WTI crude oil returns on the stock returns of China’s traditional energy sectors, including oil and gas exploitation, coal mining and processing, petroleum processing and coking, electricity, heat production and supply and mining services.Design/methodology/approachHong’s information spill-over test and the DP Granger causality test are applied to investigate the relationship between the two markets. Moreover, a rolling window is introduced into the above two tests to capture time-varying characteristics of the influence of WTI crude oil returns.FindingsThe empirical results indicate that, first, there exists significant bidirectional linear causality between WTI crude oil returns and China’s traditional energy sectoral stock returns, but the nonlinear causality appears weaker. Second, the influence of WTI crude oil returns on traditional energy sectoral stock returns has time-varying characteristics and industry heterogeneity both in the linear and nonlinear cases. Finally, the decline of WTI crude oil prices may strengthen its linear influence on the stock returns of traditional energy sectors, while the excessive rise of market values in traditional energy sectors may weaken the linear and nonlinear influence of WTI on them.Originality/valueThe general nexus between international crude oil market and China’s traditional energy stock market is explored both in the linear and nonlinear perspectives. In particular, the dynamic linear and nonlinear influence of WTI crude oil returns on China’s traditional energy sectoral stock returns and its industry heterogeneity are analysed in detail.

scholarly journals Measuring the impact of COVID-19 surveillance variables over the international oil market

2022 ◽  
Vol 9 (1) ◽  
pp. 27-33
Author(s):  
Alshdadi et al. ◽  
Keyword(s):  
Saudi Arabia ◽  
Crude Oil ◽  
Global Economy ◽  
Oil Prices ◽  
Oil Reserves ◽  
Oil Market ◽  
Crude Oil Prices ◽  
Oil Markets ◽  
Long Term Impact ◽  
The Impact

Coronavirus (COVID-19) has turned to be an alarm for the whole world both in terms of health and economics. It is striking the global economy and increasing the unpredictability of the financial market in several ways. Significantly, the pandemic spread stimulated the social distancing which led to the lockdown of the countries’ businesses, financial markets, and daily life events. International oil markets have accommodated the crude oil prices during the early COVID-19 period. However, after the first 50 days, Saudi Arabia has surged the market with oil, which caused a certain decrease in crude oil prices, internationally. Saudi Arabia is one of the biggest oil reserves in the world. International trade is based on oil reservoirs which in turn, have been significantly dislodged by the pandemic. Therefore, it is crucial to study the impact of COVID-19 on the international oil market. The purpose of this study is to investigate the short-term and long-term impact of COVID-19 on the international oil market. The daily crude oil price data is used to analyze the impact of daily price fluctuation over COVID-19 surveillance variables. The correlation between surveillance variables and international crude oil prices is calculated and analyzed. Consequently, the project will help in stabilizing the expected world economic crises and particularly will provide the implications for the policymakers in the oil market.

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