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The Co-movement Between Chinese Oil Market and Other Main International Oil Markets: A DCC-MGARCH Approach

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Abstract

In this paper, the dynamic relationship between Chinese oil market and the main international oil market is investigated. The analysis is based on weekly price series and DCC-MGARCH approach is used to model the volatility and the co-movement relationship among Daqing (China), West Texas, Brent, and Dubai crude oil markets during a period from 1997 to 2011. Empirical results indicate that Daqing crude oil market has a significant high dynamic correlation with Dubai crude oil market, while the dynamic correlation with European and American markets is low. In particular, the co-movement of Daqing crude oil market with international crude oil market has been strengthened since the Tenth “Five year plan” in China. Moreover, all of the three main international oil markets are the granger cause of the Chinese oil market.

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Notes

  1. We use the statistical data of the Energy Information Administration (EIA), which is available on the web site http://www.eia.doe.gov.

  2. Data is available on the web site http://www.eia.doe.gov.s.

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Acknowledgments

We thank the editor and reviewers for careful review and insightful comments. This study has been partly supported by National Natural Science Foundation of China (71303200, 71471152, 71171001 & 71471001), National Social Science Foundation of China (13&ZD148, 13CTJ001) and National Bureau of Statistics Funds of China (2015629).

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Authors and Affiliations

  1. Research Center of Statistics for Management, Anhui University of Finance & Economics, Bengbu, China

    Malin Song

  2. School of Economics, Xiamen University, Xiamen, China

    Kuangnan Fang & Jing Zhang

  3. Department of Economics, University of Leuven, Leuven, Belgium

    Jianbin Wu

Authors
  1. Malin Song
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  2. Kuangnan Fang
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  3. Jing Zhang
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  4. Jianbin Wu
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Correspondence to Jing Zhang.

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Song, M., Fang, K., Zhang, J. et al. The Co-movement Between Chinese Oil Market and Other Main International Oil Markets: A DCC-MGARCH Approach. Comput Econ 54, 1303–1318 (2019). https://doi.org/10.1007/s10614-016-9564-5

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  • DOI: https://doi.org/10.1007/s10614-016-9564-5

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