Global financial uncertainties and China’s crude oil futures market: Evidence from interday and intraday price dynamics

Abstract

This paper investigates the impacts of five global financial market uncertainties on the interday and intraday price dynamics of newly launched China’s crude oil futures, using both conventional causality tests and a novel nonparametric causality-in-quantiles test. The empirical results show that, first, the international stock, oil and gold market uncertainties Granger cause China’s crude oil futures returns. However, the international silver and exchange rate market uncertainties have no such effect. Second, China’s crude oil futures volatility, including interday volatility, intraday volatility and its components, moves tightly with all the global financial uncertainties. Third, concerning the asymmetries of Granger causal relationships, the impacts of financial uncertainties on the different conditional distributions of China’s crude oil futures series appear as saddle shapes in general. Then, the financial uncertainties exert significant effects on oil intraday volatility mainly through jump components instead of continuous volatility. Finally, the bad volatility of China’s crude oil futures is more susceptible to global financial uncertainties than good volatility. All the conclusions are robust after further controlling the effects of economic policy uncertainty and adopting alternative uncertainty measures based on the unpredictable components of asset returns or based on public sentiment. • The responses of the newly emerged China’s crude oil futures market to global financial uncertainties are analyzed. • The global financial uncertainties are measured by implied volatility, unpredictable components of asset returns or public sentiment. • We discuss the predictability of three oil interday price dynamics, as well as that of eight intraday price dynamics. • The linear, nonlinear and quantile causality tests and the novel nonparametric causality-in-quantiles test are simultaneously used.