Information Spillovers among International Crude Oil Markets — An Empirical Analysis Based on CCF Method and ECM

Using Hong's method based on Cross Covariance Function (CCF) and Error Correction Model (ECM), this article studies Granger causality and information spillovers among major global crude oil markets including London, New York, Dubai as well as Tapis and Minas in Southeast Asia. The results show that London and New York futures markets play dominant roles in information spillover, and WTI crude oil futures has a slight edge over Brent crude oil futures in information transmission by using methodology introduced by Hong. In addition, empirical results show Hong's method is more effective than ECM in testing Granger causality and information spillovers.