This paper proposes study framework that investigates the globalization–regionalization debate using both the time domain and frequency domain measures of connectedness. Seven international global crude oil benchmarks are used to analyse whether crude oil market is globalized or regionalized. To this end, we first utilize the Bayesian inference of dynamic correlation in multivariate factor stochastic framework proposed by Kastner et al. (Sparse Bayesian time-varying covariance estimation many dimensions, 2017. arXiv:1608.08468). Next, we employ the Diebold and Yilmaz (Int J Forecast 28:57–66, 2012) and Barunik and Krehlik (J Financ Econom, 2018. http://doi.org/10.1093/jjfinec/nby001Barunik) spillover indices to analyse the connectedness among the set of oil prices under consideration. The period of the study is 15/05/1996 to 07/03/2018. The dynamic correlation results reveal persistent correlation between different pairs of crude oil market over the whole sample period. The overall connectedness results indicate that crude oil market is well integrated. The volatility spillover results show that Forcado is the most affected by shocks from other markets. The return series of Brent at all frequencies appear to be the main source of volatility transmission in crude oil market. The results of overall connectedness show that connectedness is similar across frequencies. These findings are very important from the perspective of understanding the connectedness of global oil market.

本文提出了一个研究框架，该研究框架使用时域和频域的连通性度量来调查全球化与区域化的争论。使用七个国际全球原油基准来分析原油市场是全球化的还是区域化的。为此，我们首先在Kastner等人提出的多元因子随机框架中利用动态相关性的贝叶斯推断。（稀疏贝叶斯时变协方差估计很多维度，2017年。arXiv：1608.08468）。接下来，我们采用Diebold和Yilmaz（Int J Forecast 28：57-66，2012）和Barunik和Krehlik（J Financ Econom，2018. http://doi.org/10.1093/jjfinec/nby001Barunik）溢出指数来分析正在考虑的一系列油价之间的关联性。研究期间为1996年5月15日至2018年7月3日。动态相关结果表明，在整个样本期内，不同的原油市场对之间存在持续的相关性。总体连通性结果表明，原油市场整合良好。波动性溢出结果表明，Forcado受其他市场冲击的影响最大。在所有频率下，布伦特原油的回流系列似乎是原油市场中波动传递的主要来源。总体连通性的结果表明，各个频率之间的连通性相似。从了解全球石油市场的连通性的角度来看，这些发现非常重要。波动性溢出结果表明，Forcado受其他市场冲击的影响最大。在所有频率下，布伦特原油的回流系列似乎是原油市场中波动传递的主要来源。总体连通性的结果表明，各个频率之间的连通性相似。从了解全球石油市场的连通性的角度来看，这些发现非常重要。波动性溢出结果表明，Forcado受其他市场冲击的影响最大。在所有频率下，布伦特原油的回流系列似乎是原油市场中波动传递的主要来源。总体连通性的结果表明，各个频率之间的连通性相似。从了解全球石油市场的连通性的角度来看，这些发现非常重要。