“…That is, a subsample running from March 26, 2018, to November 16, 2019 (hereafter referred to as P1), a sub-sample running from November 17, 2019, to December 30, 2019 (hereafter referred to as the P2 period), and a subsample running from December 31, 2019, to October 1, 2020 (hereafter referred to as the P3 period). Variable selection explicitly surrounded Chinese crude oil markets, combined with a selection of the largest energy markets in the world, including West Texas Intermediate oil, Brent crude oil, DME Oman oil, and futures markets relating to fuel oil, coking coal, thermal coal, iron ore, ethylene glycol, and methanol, many of which have been analysed across several previous studies such as those presented by Kong et al (2019), Mensi et al (2021) and Dai and Zhu (2022). We split the data sample, in the same manner, following Corbet et al (2020b).…”