We examine return and volatility transmission between the newly established crude oil futures in China and international major crude oil futures markets using intraday data. For the first time, we document evidence for cointegration relationships among these oil futures markets. Both China’s and Oman’s oil futures markets react to deviations from their long-run equilibrium with WTI and Brent oil futures. There is also new evidence for asymmetric volatilities and correlations across these oil futures markets. Furthermore, the Chinese oil futures have stronger linkages with the international major futures markets than Oman futures.  

oil futures, cointegration, conditional correlation, asymmetry

Jian Yang, J. P. Morgan Endowed Chair & Research Director, J.P. Morgan Center for Commodities, University of Colorado Denver, Denver, CO, USA

Zhou Yinggang, Senior Research Fellow of IMI Professor of Finance & Associate Director, Center for Macroeconomic Research and Department of Finance at School of Economics (SOE), and Wang Yanan Institute for Studies in Economics (WISE), Xiamen University, Xiamen, China