Abstract
This study examines the efficiency of systemic risk transmission to international oil futures markets by analyzing the dynamic connectedness between three distinct Common Volatility (COVOL) measures: Energy, Asset, and Country, and compares such with five major oil benchmarks. Utilizing a framework that combines TVP-VAR, EGARCH, and wavelet coherence analyses, we investigate whether nontrading weekend breaks create a structural barrier to the pricing of systemic risk. Our findings identify a significant Monday effect, characterized by a pronounced decoupling between systemic risk signals and oil futures prices. The effect is highly state-dependent: during the COVID-19 pandemic, the disconnect dissipated for Energy and Asset COVOL but intensified for Country COVOL, while geopolitical conflicts extended the breakdown of the signal into Tuesday. These results indicate a hierarchy of influence in which country-level systemic risks exert the strongest effect on oil markets.
| Original language | English |
|---|---|
| Pages (from-to) | 1719-1747 |
| Number of pages | 29 |
| Journal | Journal of Futures Markets |
| Volume | 46 |
| Issue number | 9 |
| Early online date | 15 Jul 2026 |
| DOIs | |
| Publication status | E-pub ahead of print - 15 Jul 2026 |
Data Availability Statement
The data that support the findings of this study are available from the corresponding author upon reasonable request.Funding
The authors have nothing to report.
Keywords
- COVOL
- energy markets
- information flow
- oil
- systemic risk
- wavelets
ASJC Scopus subject areas
- Accounting
- General Business,Management and Accounting
- Finance
- Economics and Econometrics
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