Are Chinese and international oil markets integrated?

We investigate the integration between Chinese and WTI oil markets by testing for return and volatility spillovers. Using the Diebold and Yilmaz test (2012), we fmd strong asymmetry in the relationship between these two markets. Most variations in the Daqing oil market return and volatility result from innovations in WTI oil futures markets, but the effects of the Daqing oil market on WTI markets are small. We also employ the rolling-window technique and examine the time-variation property of the spillover index because certain extreme events, such as the recent financial crisis, can result in sudden changes in the spillover index. We also examine the spillover index for large fluctuations. Overall, our findings do not support oil market integration.