Journal article
The connectedness in the world petroleum futures markets using a Quantile VAR approach
Journal of commodity markets, v 27, 100222
Sep 2022
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
This paper investigates how the six major petroleum futures Oman crude, NYMEX RBOB gasoline, ICE low sulphur gasoil, ICE Brent crude, NYMEX light sweet crude and NYMEX NY Harbor ULSD (the new standard for highway diesel)) traded at three global key commodity exchanges are connected, using the novel Quantile VAR spillover approach. The study finds high degree of return connectedness between these markets, which increases as the size of the return shock increases at the 5th and 95th quantiles relative to the median 50th quantile. The global benchmark Brent crude futures traded at the Intercontinental Exchange (ICE) emerges as the lead petroleum futures irrespective of market conditions. NYMEX_RBOB_gasoline_futures emerges as a major receiver of return shocks from other oil futures market. The findings are validated in a time-varying framework, and robustness is also cross validated using the LASSO VAR spillover analysis. Policy implications of the findings are also discussed.
•How six major petroleum futures traded on three different exchanges are connected?•Level of connectedness increases in both the bullish and bearish markets.•Brent crude futures emerges as the lead petroleum futures in all market conditions.•Oil price behavior is symmetrical for both the positive and negative return shocks.
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Details
- Title
- The connectedness in the world petroleum futures markets using a Quantile VAR approach
- Creators
- Sangram Keshari Jena - International Management InstituteAviral Kumar Tiwari - RajagiriEmmanuel Joel Aikins Abakah - University of Cape Coast School of Economics, Cape Coast, GhanaShawkat Hammoudeh - Drexel University
- Publication Details
- Journal of commodity markets, v 27, 100222
- Publisher
- Elsevier
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:000847896600005
- Scopus ID
- 2-s2.0-85122690287
- Other Identifier
- 991019173859904721
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- Collaboration types
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Business, Finance
- Economics