International Journal of Social Science & Economic Research
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Title:
THE NEXUS BETWEEN CHINA CRUDE OIL FUTURES AND SPOTS: A COMPARISON WITH WTI FUTURES

Authors:
Cheng Cheng, Xingyu Dai

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* 1Cheng Cheng, 1Xingyu Dai
1. College of Economics and Management, Nanjing University of Aeronautics and Astronautics, Nanjing 211106, China
*. Corresponding author

MLA 8
Cheng, Cheng, and Xingyu Dai. "THE NEXUS BETWEEN CHINA CRUDE OIL FUTURES AND SPOTS: A COMPARISON WITH WTI FUTURES." Int. j. of Social Science and Economic Research, vol. 5, no. 3, Mar. 2020, pp. 587-609, ijsser.org/more2020.php?id=40. Accessed Mar. 2020.
APA(6)
Cheng, C., & Dai, X. (2020, March). THE NEXUS BETWEEN CHINA CRUDE OIL FUTURES AND SPOTS: A COMPARISON WITH WTI FUTURES. Int. j. of Social Science and Economic Research, 5(3), 587-609. Retrieved from ijsser.org/more2020.php?id=40
Chicago
Cheng, Cheng, and Xingyu Dai. "THE NEXUS BETWEEN CHINA CRUDE OIL FUTURES AND SPOTS: A COMPARISON WITH WTI FUTURES." Int. j. of Social Science and Economic Research 5, no. 3 (March 2020), 587-609. Accessed March, 2020. ijsser.org/more2020.php?id=40.

References
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Abstract:
The aim of this paper is to dig out the nexus between China crude oil futures and eight kinds of crude oil spots around four different aspects, namely mean spillovers, volatility spillovers, dynamic correlation, and dynamic hedging ratio. A comparison is made between the oil futures and spots nexus with WTI futures. Our key findings conclude that WTI futures contributed more spillovers than China crude oil futures. However, China crude oil futures receive more spillovers from the spots than do WTI futures. The dynamic correlation between China crude oil futures and Asian crude oil spots is higher than the correlation of WTI futures. The hedge performance shows that China crude oil futures can be a hedging tool to all Asian oil spots, but this is not the case for spots in Europe and America.

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