Research on Linkage and Spillover Effects among Chinas Crude Oil Market and Other Main International Crude Oil Markets

In order to investigate the inner relationship and spillover effects within international crude oil markets, this paper constructed a vector error correction model based on cointegration theory and analyzed the interactions among principle international crude oil markets, at while, this paper investigated the spillover effects within aforementioned markets by using VAR-BEEK-MVGARCH model. The results indicate that there is perennial equilibrium relationship among all crude oil markets and there are volatility clustering and persistence, i.e.,ARCH effects, and except that there are only unidirectional volatility spillover effects from WTI and Brent markets to Chinas market there are significant bidirectional mean and volatility spillover effects, which may derive from market contagion, within all other crude oil markets.