• Corpus ID: 238407743

New insights into price drivers of crude oil futures markets: Evidence from quantile ARDL approach

@inproceedings{Shao2021NewII,
  title={New insights into price drivers of crude oil futures markets: Evidence from quantile ARDL approach},
  author={Hao-Lin Shao and Ying-Hui Shao and Yan-Hong Yang},
  year={2021}
}
This paper investigates the cointegration between possible determinants of crude oil futures prices during the COVID-19 pandemic period. We perform comparative analysis of WTI and newly-launched Shanghai crude oil futures (SC) via the Autoregressive Distributed Lag (ARDL) model and Quantile Autoregressive Distributed Lag (QARDL) model. The empirical results confirm that economic policy uncertainty, stock markets, interest rates and coronavirus panic are important drivers of WTI futures prices… 
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