Measuring the Time-Frequency Dynamics of Return and Volatility Connectedness in Global Crude Oil Markets
説明
This study analyzes return and volatility spillovers across global crude oil markets for 1 January 1991 to 27 April 2018, using an empirical technique from the time and frequency domains, and makes four key contributions. First, the spillover tables reveal that the West Texas Intermediate (WTI) futures market, which is a common indicator of crude oil indices, contributes the least to both return and volatility spillovers. Second, the results also show that the long-term factor contributes the most to returns spillover, while the short-term factor contributes the most in terms of volatility. Third, the rolling analyses show that the time-variate connectedness in terms of returns tends to be strong, but there was no noticeable change from 1991 to April 2018 in terms of volatility. Finally, the major events between 1991 and April 2018, namely the Asian currency crisis (1997-1998) and the global financial crisis (2007-2008), caused a rise in the total connectedness of returns and volatility.
収録刊行物
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- Energies
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Energies 11 (11), 2893-2893, 2018-10-24
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詳細情報 詳細情報について
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- CRID
- 1050012570393210240
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- NII論文ID
- 120006545973
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- ISSN
- 19961073
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- HANDLE
- 20.500.14094/90005468
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- 本文言語コード
- en
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- 資料種別
- journal article
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- データソース種別
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- IRDB
- Crossref
- CiNii Articles
- KAKEN
- OpenAIRE
