Comovement Between Domestic And International Oil Markets: An Empirical Study Based On Diffusion-Jump Perspective

Today, with the increasingly serious energy crisis, it is self-evident that oil has played an important role in the promotion of economic growth. In the context of the widening gap between the supply and demand and the dependence on foreign oil has recently hit record high, to grasp the comovements of the oil markets at home and abroad is of great significance to ensure our country’s energy security. Based on the jump-diffusion model, the paper uses Granger causality test, Johansen cointegration test, spillover index and mutually exciting jump model and so on to analyze the comovement between Brent、WTI、Dubai and Daqing from the diffusion and jump aspects. The 2008 financial crisis has been used as a time node to split the sample period. The results indicate that WTI Granger cause Brent in the entire sample period but Brent only Granger cause WTI after the crisis that show the conversion between the two benchmarks. There is a long term equilibrium among Brent、WTI、Dubai and Daqing, Daqing has stable positive relationship with Brent but changed from negative to positive with the WTI after the crisis, furthermore the error correction coefficient becomes smaller after the crisis. The return spillover and volatility spillover have enhanced after the crisis, but the net spillover indices keeps negative,250-day rolling window reveals that the indices experienced a sharp rise before the crisis and then dramatically declined, they have upward trends throughout the whole sample period. BNS test shows the presence of jump behaviors of the four markets. The mutually exciting model provide existence of self-excitation of Brent、Dubai and Daqing after the crisis and asymmetric cross-excitation from Brent and Dubai to Daqing.