首页|The dependence structure and causality detection in crude oil markets
The dependence structure and causality detection in crude oil markets
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NETL
NSTL
Taylor & Francis
It is essential to capture the dependence structure among the world’sdominant crude oil markets for understanding the world’s crude oil pricingmechanism. The dependence structure and interaction between ShanghaiInternational Energy Exchange (INE) market and other major crude oil marketsin the world are investigated to determine whether the world crude oilmarket is efficient. Using the vine copula model based on GARCH, we analyzethe dependence structure and interactions among these markets. The highestdependence is found between West Texas Intermediate (WTI) and BRENTcrude oil markets, displaying strong symmetric tail dependence. DUBAImarket exhibits unidirectional Granger causality to WTI and INE markets.Empirical results suggest that the world crude oil markets are not efficientand are far from One Great Pool. DUBAI and Brent markets emerge as leadersin the current international crude oil pricing system, while INE markets do notsignificantly influence DUBAI and BRENT markets.
School of Economics and Management, Xi’an University of Technology, Xi’an, Shaanxi, China
Guangdong ProvincialKey Laboratory IRADS, BNU-HKBU United International College, Zhuhai, China||Faculty of Science and Technology,BNU-HKBU United International College, Zhuhai, China
Department of Economics, Western Michigan University,Kalamazoo, Michigan, USA
NETL
NSTL
Taylor & Francis
