Dependencies and Volatility Spillovers among Chinese Stock and Crude Oil Future Markets: Evidence from Time-Varying Copula and BEKK-GARCH Models

This paper investigates co-movements among the Chinese stock market, Shanghai International Energy Exchange (INE) crude oil futures and West Texas Intermediate (WTI) futures. We use Copula models to capture tail dependencies employ VAR-BEKK-GARCH model examine direction of volatility spillovers. find that there are positively time-varying dependency relationships three markets. Compared with corresponding upper-tail dependencies, lower-tail were larger before COVID-19 pandemic while relatively weaker after breakout pandemic. Before pandemic, was only a statistically significant spillover from WTI future market INE market. After spillovers in two pairs markets, namely, WTI–INE stock–WTI. However, we evidence unidirectional during