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• W2908993780 abstract "This paper explores the dependence between global crude oil and Chinese commodity futures markets across different quantiles of the return distributions. Based on weekly data from 11 June 2004 to 7 July 2017, we address this issue by applying a quantile regression method. This technique provides a more detailed investigation of the dependence. Moreover, considering the structural breaks caused by market turmoil or financial crises, we divide the full period of every commodity sector market into sub-periods based on these break dates to further explore the dependence changes. The empirical results indicate that the dependence between global crude oil and Chinese commodity futures markets is different across quantiles in different commodity sectors. The dependence is significantly positive, except in markets with high expected returns. Additionally, the effects caused by structural breaks are distinctly heterogeneous across quantiles. The effect of the same break on the degree of dependence exhibits an increasing tendency as the quantile level increases, which suggests that markets with high expected returns are more susceptible to crises. Finally, we apply a prediction analysis to further verify the heterogeneity of the commodity sectors, which may be the cause of the heterogeneous dependence." @default.
• W2908993780 created "2019-01-25" @default.
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• W2908993780 date "2019-01-07" @default.
• W2908993780 modified "2023-10-13" @default.
• W2908993780 title "The heterogeneous dependence between global crude oil and Chinese commodity futures markets: evidence from quantile regression" @default.
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• W2908993780 doi "https://doi.org/10.1080/00036846.2018.1564117" @default.
• W2908993780 hasPublicationYear "2019" @default.
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