Data for: How do correlations of crude oil prices co-move? A grey correlation-based wavelet perspective

Abstract of associated article: Previous research on the oil market has focused mainly on the static relationship between bivariate oil prices, ignoring the dynamic correlation of bivariate or multivariate oil prices. This study provides a novel perspective on multivariate dynamic correlations for studying the oil market by using an optimal wavelet analysis on the basis of grey correlation. We used China-Daqing and its three reference benchmark oil prices (Brent, Dubai and Minas) as empirical data. Our main findings are as follows. First, the time–frequency phenomena of the analysis results from one-to-one and many-to-one correlation time series support the hypothesis of the regional and global characteristics of the oil market, respectively. Second, the U-shaped wavelet variance plot indicates that the fluctuation intensity of the shortest and longest time–frequency domains plays a leading role in the dynamic process of oil price correlation. For the Chinese government, the oil price adjustment strategy in the short term should reduce the reference weights of Brent, and the long-term strategy should reduce the reference weights of Minas to avoid the risk of a single reference. The investor's portfolio management should pay more attention to the leading oil price of the corresponding period to make clear market timing. Third, the significant lead–lag relationships of oil price correlations showed a time-varying spread phenomenon of benchmark oil prices' relative influence on Daqing, which provides a useful time reference when crafting an oil price adjustment strategy and intertemporal arbitrage.

关联论文摘要：过往有关石油市场的研究多聚焦于二元油价间的静态关联，却忽视了二元或多元油价的动态相关性。本研究基于灰色关联度开展优化小波分析，为石油市场的多元动态关联研究提供了全新视角。本次实证数据选取中国大庆原油价格及其三大参考基准油价（布伦特(Brent)、迪拜(Dubai)、米纳斯(Minas)）。主要研究结论如下：其一，一对一及多对一关联时序的分析结果所呈现的时频特征，分别佐证了石油市场的区域特性与全球特性假说。其二，呈U型分布的小波方差图表明，最短与最长时频域的波动强度在油价关联动态过程中占据主导地位。对于我国政府而言，短期油价调整策略应降低布伦特原油的参考权重，长期策略则应下调米纳斯原油的参考权重，以规避单一参考标的带来的风险；投资者的投资组合管理应更多关注对应时段的主导油价，以明确市场时点。其三，油价关联的显著领先滞后关系，展现了各基准油价对大庆原油影响权重的时变扩散现象，这为制定油价调整策略与跨期套利提供了极具价值的时间参照。