Global crude oil and the Chinese oil-intensive sectors: A comprehensive causality study

Leong, Soon Heng

doi:10.1016/j.eneco.2021.105558

Cited by 7 publications

(2 citation statements)

References 43 publications

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“…Crude oil not only affects agricultural commodity markets but also is equally responsive to innovations in most agricultural commodity markets (Balcilar et al., 2021). Crude oil shows a significant long‐run relation with China's market, and China became more vulnerable to oil price after its domestic refined oil pricing reform in 2013 (Leong, 2021). Moreover, China needs a large amount of crude oil each year to sustain its economic development.…”

Section: Introductionmentioning

confidence: 99%

Dynamic correlation between crude oil and agricultural futures markets

Chen

Yan

Kang

2022

Review Development Economics

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In recent years, the relationship between agricultural commodities and crude oil has become increasingly close with the promotion of biofuel policies. This study examines the dynamic correlation between global crude oil futures and seven agricultural commodity futures by applying the consistent dynamic conditional correlation and dynamic equicorrelation models. The empirical results show that the dynamic correlation between the global crude oil futures market and China's agricultural futures market is weak compared to the global agricultural futures market. In particular, soybean oil has the strongest correlation with crude oil, while Dalian Commodity Exchange (DCE) corn and Zhengzhou Commodity Exchange wheat have the weakest correlation with crude oil. There is an indirect linkage between crude oil futures and DCE soybean meal and DCE soybean oil. Moreover, the dynamic correlation between crude oil and agricultural commodities increased during the financial crisis, the novel coronavirus (COVID‐19) epidemic, and the crude oil crash crisis. Brent crude oil has a stronger co‐movement with China's agricultural commodities than West Texas Intermediate crude oil and can better hedge the risk of agricultural commodities. The findings of this study provide some insights into the contagion risk management of crude oil futures and agricultural futures markets.

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Section: Introductionmentioning

confidence: 99%

Dynamic correlation between crude oil and agricultural futures markets

Chen

Yan

Kang

2022

Review Development Economics

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“…Then, the 2020 COVID-19 pandemic followed, which significantly slowed down the global economy and contributed to enormous fluctuations in the price of oil. The fluctuations that occurred contributed to the fact that most market participants who are in any way connected with oil pay attention to changes in the price of oil and organize their businesses in accordance with the market situation (Li et al, 2022).…”

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confidence: 99%

Assessing the spillover of shocks from the oil market to the stock market of different industry sectors in America: A quantile regression approach

Bakić

2024

Serb J Management

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The research problem of this paper examines the impact of Brent oil price shocks on stock returns of nine companies from the US market, operating in three different industrial sectors. The observation period covers 2015 to 2023. The research process involves determining the impact of shock transmission using a quantile regression approach. The results show that most of the evaluated quantile parameters are highly statistically significant, i.e. with more than 99% probability. The estimated quantile parameters have the property of being able to observe the spillover effects of shocks in different states of the economy, such as recession, normal state and expansion. The research results suggest that the spillover of shocks from the Brent oil market is most pronounced in the automotive industry sector, that is, in the companies that are most dependent on oil for energy. The significance of the research is reflected in the lack of existing research that deals with the impact of the most important commodity in the world on the prices of company shares with the application of this methodology, which is also a contribution to science. Finally, the results of this research are very relevant for making investment decisions for economic policy makers, investors and company management.

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Oil price returns and firm's fixed investment: A production pattern

Yin¹,

Yang²

2023

Energy Economics

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Global crude oil and the Chinese oil-intensive sectors: A comprehensive causality study

Cited by 7 publications

References 43 publications

Dynamic correlation between crude oil and agricultural futures markets

Dynamic correlation between crude oil and agricultural futures markets

Assessing the spillover of shocks from the oil market to the stock market of different industry sectors in America: A quantile regression approach

Oil price returns and firm's fixed investment: A production pattern

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