Information Spillovers Among Global Refined Products Markets--- An Empirical Study Based on CCF Method and Cointegration Theory
LU Fengbin(1) HONG Yongmiao(2) WANG Shouyang(1)
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(1)Institute of Systems Science, Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190;(2)Department of Economics, Cornell University, New York 14850
Using Hong (2001) statistics based on cross-correlation function, this paper studies information spillover effects among the major refined products traded at the Singapore, the ARA and the New York markets. Also, information transmissions among these three markets are examined. In addition, the relationships between refined products and crude oil in the New York market are investigated by testing information spillover effects and applying cointegration analysis. The research is focused on four main refined products: gasoline, diesel oil, fuel oil and heating oil. Our empirical results show that diesel oil has the upper hand in terms of information spillover effects in both the ARA market and the Singapore market, while there is no apparent information leader in the New York market. Our tests for information spillover effects among the three refined products markets indicate that the New York market plays a dominant role, followed by the ARA market. Moreover, there exist cointegration relations and very significant instantaneous spillover effects between crude oil (WTI) and the four refined products by the Johansen cointegration test.
LU Fengbin HONG Yongmiao WANG Shouyang. , {{custom_author.name_en}}.
Information Spillovers Among Global Refined Products Markets--- An Empirical Study Based on CCF Method and Cointegration Theory. Journal of Systems Science and Mathematical Sciences, 2008, 28(11): 1363-1382 https://doi.org/10.12341/jssms10141
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