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| Volatility Spillover Effect between Domestic and International Oil Prices |
| HE Qizhi, ZHANG Jing, FAN Conglai
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School of Finance, Anhui University of Finance and Economics;
School of Business, Nanjing University |
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Abstract The transmission mechanism and the stylized facts of the volatility of domestic and international oil prices are analyzed. The multivariate stochastic volatility model of dynamic correlation coefficient with Granger causality test (DGC-MSV), combining the multivariate stochastic volatility model of dynamic coefficient with the volatility Granger causality model of fixed coefficient, is constructed. And the tests are given based on the future and spot oil prices of China, USA and British. The following conclusions are gained mainly: First, the correlation coefficients of volatility between the future and spot oil price of China, USA and British are changing dynamically. Second, there are significant spillover effects from USA spot prices to Chinese spot prices, and meanwhile, from Chinese spot prices to USA and British futures prices. Third, there are two-way volatility spillover effects between the oil spot prices,and between the oil futures prices of Britain and USA.Forth,financial attributes of Chinese oil market are less than those of Britain and USA oil markets. Finally, some suggestions are put forward.
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Received: 16 December 2014
Published: 19 April 2018
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