Extreme Comovement and Risk Spillovers in Crude Oil Prices: A Tale of Two Events
研究了INE原油期货与全球基准间的尾部依赖和风险溢出，发现下行风险主导且INE在白天交易时段信息传递更强，对疫情和俄乌冲突等极端事件更敏感。
ABSTRACT In this paper, we investigate the tail dependence and risk spillovers between International Energy Exchange (INE) crude oil futures and global crude oil benchmarks (WTI and Brent), as well as its underlying spot markets, by integrating the ARMA–GARCH‐skewed‐ model with the Copula‐CoVaR framework. Using high‐frequency data with synchronized trading windows, we find consistently strong tail dependence across all sessions, supporting the role of INE as an emerging Asian benchmark. Risk spillovers are asymmetric, with downside risk dominating. INE functions as an information sender during daytime trading, characterized by notable volatility transmission, whereas nighttime spillover is more stable and symmetric. Moreover, INE is more sensitive to extreme events such as COVID‐19 pandemic and the Russia–Ukraine conflict during its domestic trading hours. Our findings offer practical implications for market regulation, emphasizing the need to improve nighttime liquidity and enhance systemic risk monitoring under time‐varying uncertainty.