The impact of COVID‐19 on the interdependence between US and Chinese oil futures markets
研究了新冠疫情如何改变美国与中国原油期货市场之间的长期相关性、短期动态关联以及因果关系，发现疫情增强了双向因果和从中国到美国的波动溢出效应，对监管者监控供应链风险和投资者跨市场对冲有参考价值。
Abstract The oil futures market plays a vital role in the global financial system, especially after the negative future oil price rose during the COVID‐19 pandemic. This paper investigates the COVID‐19 impact on the interdependence between the US and Chinese oil futures markets by extending the dynamic conditional correlation‐generalized autoregressive conditional heteroskedasticity (DCC‐GARCH) models with incorporating COVID‐19 variables and by applying vector autoregression (VAR) models. Our study reveals that the COVID‐19 pandemic enhanced the long‐run correlation between the two oil markets. In contrast, daily changes in pandemic severity had a negative effect on the short‐term transient correlation. Our results show that COVID‐19 changed the one‐direction causality from the US oil market to the Chinese market in the pre‐COVID period to a bidirectional causal relation between the two markets during the COVID period. It strengthened the volatility spillover effect from the Chinese to US markets. These findings are helpful to regulars' monitoring oil supply chain risk and investors' cross‐market hedging of spillover risks from a systematic risk perspective.