TY - JOUR
T1 - The connectedness in the world petroleum futures markets using a Quantile VAR approach
AU - Jena, Sangram Keshari
AU - Tiwari, Aviral Kumar
AU - Aikins Abakah, Emmanuel Joel
AU - Hammoudeh, Shawkat
N1 - Publisher Copyright:
© 2021 Elsevier B.V.
PY - 2022/9
Y1 - 2022/9
N2 - 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.
AB - 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.
KW - LASSO-VAR model
KW - Petroleum futures prices
KW - TVP-VAR-Quantile risk spillover model
KW - Time-varying
KW - Volatility spillovers
UR - http://www.scopus.com/inward/record.url?scp=85122690287&partnerID=8YFLogxK
U2 - 10.1016/j.jcomm.2021.100222
DO - 10.1016/j.jcomm.2021.100222
M3 - Review article
AN - SCOPUS:85122690287
SN - 2405-8513
VL - 27
JO - Journal of Commodity Markets
JF - Journal of Commodity Markets
M1 - 100222
ER -