scholarly journals COVID-19: Structural changes in the relationship between investor sentiment and crude oil futures price

2020 ◽  
Author(s):  
Wenli Huang ◽  
Yuqi Zheng
Keyword(s):  
Crude Oil ◽  
Structural Changes ◽  
Investor Sentiment ◽  
Oil Futures ◽  
Crude Oil Futures ◽  
Futures Price ◽  
The Relationship

scholarly journals Research on the Correlation Between WTI Crude Oil Futures Price and European Carbon Futures Price

2021 ◽  
Vol 9 ◽  
Author(s):  
Zhengwei Ma ◽  
Yuxin Yan ◽  
Ruotong Wu ◽  
Feixiao Li
Keyword(s):  
Crude Oil ◽  
Carbon Emission ◽  
Mutual Effect ◽  
Futures Prices ◽  
Price Fluctuation ◽  
Oil Futures ◽  
Sea Levels ◽  
Crude Oil Futures ◽  
Futures Price ◽  
Emission Rights

In recent years, the rapid increase in CO2 concentration has accelerated global warming. As a result, sea levels rise, glaciers melt, extreme weather occurs, and species become extinct. As the world’s largest CO2 emission rights trading market, EU Emissions Trading System (EU-ETS) has reached 1.855 billion tons of quotas by 2019, influencing the development of the global carbon emission market. Crude oil, as one of the major fossil energy sources in the world, its price fluctuation is bound to affect the price of carbon emission rights. Therefore, this paper aims to reveal the correlation between crude oil futures prices and carbon emission rights futures prices by studying the price fluctuation. In this paper, the linkage between West Texas Intermediate (WTI) crude oil futures prices and European carbon futures prices was investigated. In addition, this paper selects continuous data of WTI crude oil futures prices and spot prices with European carbon futures prices from January 8, 2018 to November 27, 2020, and builds a smooth transformation regression (STR) model. The relationship between crude oil futures and carbon futures prices is studied in both forward and reversal linkage through empirical analysis. The results show that crude oil futures prices and carbon futures prices have a mutual effect on each other, and both linear and nonlinear correlations between the two prices exist. Based on the results of this research, some suggestions are provided.

scholarly journals The Relationship between Crude Oil Futures Market and Chinese/US Stock Index Futures Market Based on Breakpoint Test

Entropy ◽  
2021 ◽  
Vol 23 (9) ◽  
pp. 1172
Author(s):  
Xunfa Lu ◽  
Kai Liu ◽  
Kin Keung Lai ◽  
Hairong Cui
Keyword(s):  
Crude Oil ◽  
Futures Market ◽  
Stock Index ◽  
Stock Index Futures ◽  
Oil Futures ◽  
Index Futures ◽  
Price Series ◽  
Crude Oil Futures ◽  
The Mean ◽  
The Relationship

Combined with the B-P (breakpoint) test and VAR–DCC–GARCH model, the relationship between WTI crude oil futures and S&P 500 index futures or CSI 300 index futures was investigated and compared. The results show that breakpoints exist in the relationship in the mean between WTI crude oil futures market and Chinese stock index futures market or US stock index futures market. The relationship in mean between WTI crude oil futures prices and S&P 500 stock index futures, or CSI 300 stock index futures is weakening. Meanwhile, there is a decreasing dynamic conditional correlation between the WTI crude oil futures market and Chinese stock index futures market or US stock index futures market after the breakpoint in the price series. The Chinese stock index futures are less affected by short-term fluctuations in crude oil futures returns than US stock index futures.

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