A spillover network analysis of the global crude oil market:Evidence from the post-financial crisis era

作     者：Zhi-Yi Ouyang Zheng Qin Hong Cao Tian-Yu Xie Xing-Yu Dai Qun-Wei Wang Zhi-Yi Ouyang;Zheng Qin;Hong Cao;Tian-Yu Xie;Xing-Yu Dai;Qun-Wei Wang

作者机构：College of Economics and ManagementNanjing University of Aeronautics and Astronautics29 Jiangjun AvenueNanjing211106China Research Center for Soft Energy ScienceNanjing University of Aeronautics and AstronauticsNanjing211106China 

出 版 物：《Petroleum Science》 (石油科学（英文版）)

年 卷 期：2021年第18卷第4期

页      面：1256-1269页

核心收录：

学科分类：120202[管理学-企业管理（含：财务管理、市场营销、人力资源管理）] 12[管理学] 0202[经济学-应用经济学] 02[经济学] 1202[管理学-工商管理] 020205[经济学-产业经济学] 

基　　金：the financial support from the National Natural Science Foundation of China(No.71922013) 

主　　题：Oil price Network analysis Spillover effect Multiscale analysis Baruník and Krehlík model 

摘      要：The frequent occurrence of geopolitical crises in the post-financial crisis era is driving the rethinking behind whether the global crude oil market is still a highly connectedgreat pool.Using the spillover network model suggested by Baruník and Krehlík(2018),and the daily data of 31 global crude oil markets from 2009 to 2019,this study examines the return and volatility spillover effects and their timevarying behavior in six crude oil market segments at different *** findings indicate that heterogeneity exists in the co-movements between global crude oil markets in the post-financial crisis *** the medium term,both return and volatility spillover effects are not significant,which makes the diversified portfolio strategy *** in the Europe and Central Asian regions take the lead in return *** contrast,Asia-Pacific regional prices contribute the most in terms of volatility ***-term volatility spillovers increase sharply when confronted with oil-related events in the postfinancial crisis ***,policymakers should take effective measures to prevent any large-scale risk transmission in the long run.