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      Extreme risk spillover between Chinese and global crude oil futures

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          Highlights

          • •

            The risk spillover between Chinese and the global crude oil futures is studied.

          • •

            VaR connectedness networks are built to measure upside and downside risk spillover.

          • •

            China's crude oil futures behave as a net risk receiver in the global crude oil system.

          • •

            Brent and WTI play the leading roles in risk transmission in the system.

          • •

            Risk spillover presents time-varying feature and rises sharply by the COVID-19 pandemic.

          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.

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          Generalized impulse response analysis in linear multivariate models

          H.Hashem Pesaran, Yongcheol Shin (1998)
          Article 0 comments Cited 606 times – based on 0 reviews     Review now
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            Searching for safe-haven assets during the COVID-19 pandemic

            Qiang Ji, Dayong Zhang, Yuqian Zhao (2020)
            The ongoing COVID-19 pandemic has shaken the global financial system and caused great turmoil. Facing unprecedented risks in the markets, people have increasing needs to find a safe haven for their investments. Given that the nature of this crisis is a combination of multiple problems, it is substantially different from all other financial crises known to us. It is therefore urgent to re-evaluate the safe-haven role of some traditional asset types, namely, gold, cryptocurrency, foreign exchange and commodities. This paper introduces a sequential monitoring procedure to detect changes in the left-quantiles of asset returns, and to assess whether a tail change in the equity index can be offset by introducing a safe-haven asset into a simple mean-variance portfolio. The sample studied covers a training period between August–December 2019 and a testing period of December 2019–March 2020. Furthermore, we calculate the cross-quantilogram between pair-wise asset returns and compare their directional predictability on left-quantiles in both normal market conditions and the COVID-19 period. The main results show that the role of safe haven becomes less effective for most of the assets considered in this paper, while gold and soybean commodity futures remain robust as safe-haven assets during this pandemic.
            Article 0 comments Cited 215 times – based on 0 reviews     Review now
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              The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes

              Elie Bouri, Aktham Maghyereh, Basel Awartani (2016)
              Article 0 comments Cited 99 times – based on 0 reviews     Review now
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                Author and article information

                Contributors
                Qiang Ji
                Journal
                Journal ID (nlm-ta): Financ Res Lett
                Journal ID (iso-abbrev): Financ Res Lett
                Title: Finance Research Letters
                Publisher: Elsevier Inc.
                ISSN (Print): 1544-6123
                ISSN (Electronic): 1544-6131
                Publication date PMC-release: 30 August 2020
                Publication date (Electronic): 30 August 2020
                Electronic Location Identifier: 101743
                Affiliations
                [a ]Business School, University of Shanghai for Science and Technology, 200093, Shanghai, China
                [b ]Institutes of Science and Development, Chinese Academy of Sciences, Beijing 100190, China
                [c ]School of Public Policy and Management, University of Chinese Academy of Sciences, Beijing 100049, China
                [d ]Research Institute of Economics and Management, Southwestern University of Finance and Economics, China
                Author notes
                Article
                Publisher ID: S1544-6123(20)31066-7 Publisher ID: 101743
                DOI: 10.1016/j.frl.2020.101743
                PMC ID: 7456448
                PubMed ID: 32904491
                SO-VID: 8fef0b3e-94c2-45de-805b-67df6d75bca6
                Copyright © © 2020 Elsevier Inc. All rights reserved.
                License:

                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.

                History
                Date received : 23 June 2020
                Date revision received : 25 August 2020
                Date accepted : 29 August 2020
                Categories
                Subject: Article

                Keywords: crude oil futures,extreme risk spillover,covid-19 pandemic,connectedness network
                Data availability:
                Keywords: crude oil futures, extreme risk spillover, covid-19 pandemic, connectedness network

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