Unité mixte de recherche 7235

Testing for crude oil markets globalization during extreme price movements

Bertrand Candelon, Marc Joëts, Sessi Tokpavi

[en]This paper investigates the global crude oil market dependence during extreme price movements. To this aim we extend the univariate Granger causality test in extreme risk developed by Hong et al. (2009) in a multivariate context. Asymptotic as well as finite sample properties are delivered. Applying this test for 32 crude oil markets, it turns out that extreme price movements are governed by non-OPEC crude oil markets rather than OPEC ones. More precisely, WTI and Brent crude oils are price setters in both extreme downside and upside price movements. More surprisingly, Mediterranean Russian Urals and Europe Forcados (resp. Ecuador Oriente) rather than Dubai Fateh act as additional benchmarks in periods of extreme price falls (resp. rises). Moreover, the integration process between crude oil markets seems to decrease during extreme price movements making diversification strategies more feasible. [/en]

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