When crises hit: volatility, price discovery leadership, and causal linkages among WTI, Brent, and Shanghai crude oil futures

Mohamad, Azhar and Fromentin, Vincent and Sarveshwar, Kumar Inani and Arunava, Bandyopadhyay (2026) When crises hit: volatility, price discovery leadership, and causal linkages among WTI, Brent, and Shanghai crude oil futures. Journal of Asset Management, 27 (23). pp. 1-20. ISSN 1470-8272 E-ISSN 1479-179X

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Abstract

This paper investigates the dynamic linkages among WTI, Brent, and Shanghai crude oil futures markets during two major global crises: the COVID-19 pandemic and the Russia–Ukraine conflict. Using daily data from March 2018 to June 2024, the study employs a suite of econometric techniques, including range-based volatility estimators, the rolling Information Leadership Share (ILS) measure, time-varying Granger causality (TVGC), and wavelet coherence analysis. The results show that WTI futures experienced higher volatility during episodes of severe global uncertainty, whereas Shanghai futures exhibited greater volatility during relatively stable periods. Despite its recent inception, the Shanghai market demonstrated a strong and growing role in price discovery, particularly during daytime trading. Causality analysis confirms WTI’s dominant predictive influence on both Brent and Shanghai. Wavelet coherence reveals a persistently strong alignment between WTI and Brent, alongside Shanghai’s gradual, long-term integration into global pricing dynamics. These findings contribute to the literature on international financial markets and energy economics, offering new insights into market efficiency during extreme shocks within the global crude oil benchmarks.

Item Type:	Article (Journal)
Uncontrolled Keywords:	Information leadership share (ILS); time-varying causality; Yang–Zhang volatility estimator; wavelet coherence; crude oil futures.
Subjects:	H Social Sciences > HG Finance H Social Sciences > HG Finance > HG4501 Stocks, investment, speculation
Kulliyyahs/Centres/Divisions/Institutes (Can select more than one option. Press CONTROL button):	Kulliyyah of Economics and Management Sciences > Department of Finance Kulliyyah of Economics and Management Sciences
Depositing User:	Dr Azhar Mohamad
Date Deposited:	14 Jul 2026 17:49
Last Update:	14 Jul 2026 17:49
Queue Number:	2026-07-Q4093
URI:	http://irep.iium.edu.my/id/eprint/129970

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