Abstract
Combined with the B-P (breakpoint) test and VAR–DCC–GARCH model, the relationship between WTI crude oil futures and S&P 500 index futures or CSI 300 index futures was investigated and compared. The results show that breakpoints exist in the relationship in the mean between WTI crude oil futures market and Chinese stock index futures market or US stock index futures market. The relationship in mean between WTI crude oil futures prices and S&P 500 stock index futures, or CSI 300 stock index futures is weakening. Meanwhile, there is a decreasing dynamic conditional correlation between the WTI crude oil futures market and Chinese stock index futures market or US stock index futures market after the breakpoint in the price series. The Chinese stock index futures are less affected by short-term fluctuations in crude oil futures returns than US stock index futures.
| Original language | English |
|---|---|
| Article number | 1172 |
| Journal | Entropy |
| Volume | 23 |
| Issue number | 9 |
| Online published | 6 Sept 2021 |
| DOIs | |
| Publication status | Published - Sept 2021 |
| Externally published | Yes |
Research Keywords
- breakpoint test
- stock index futures
- transmission relationship
- VAR–DCC–GARCH
- WTI crude oil futures
Publisher's Copyright Statement
- This full text is made available under CC-BY 4.0. https://creativecommons.org/licenses/by/4.0/