Research on Volatility Spillover in the International Crude Oil Futures Markets

Abstract

Purpose - This paper aims to analyze the volatility spillover effect between international crude oil futures markets such as Europe, the United States, and China. Design/Methodology - This paper analyzes the volatility characteristics of the international crude oil futures market using the GARCH model, and then analyzes the volatility spillover effect between international crude oil futures markets using the BEKK-GARCH model. Statistical data uses daily return data of international crude oil futures from April 1, 2018 to March 31, 2023. Findings - The Brent crude oil futures market was found to have the greatest impact on the international crude oil futures market. Shanghai crude oil futures have a short listing period, but as the listing period becomes longer, the volatility spillover effect on the international crude oil futures market appears to be stronger. This shows that the influence of the Shanghai crude oil futures market in the international crude oil futures market is strengthening. Originality/value - It is anticipated that China's influence in the international oil market will continue to increase. Once Chinese crude oil futures trading stabilises, this market could serve as a benchmark for oil prices that reflects supply dynamics in the Asia-Pacific region.