Research on Integration of Petroleum Market
This study examines changes in integration on oil market. Conintegration and Granger causality analysis
conducted on whole period and subsections depending on the structural breakpoint endogenously determined. Results show
that WTI, Dubai and Brent prices are cointegrated in the whole period. However, the cointegration did not exist in posterior
the break while it does in prior the break. In terms of Granger causality, WTI, Dubai and Brent prices had mutual predictions
before the structural change. However, there does not exists causality between WTI, Dubai, and Brent prices.
Keywords - International oil market, Integration, cointegration, causality.