Abstract

Since the outbreak of the COVID-19 pandemic, the global oil market has experienced historic turbulence, and the extreme jump behavior of oil prices deserves relentless attention. This study analyzed how oil price shocks impact China’s transportation sector at the aggregate and subsector levels from the perspective of jump behavior in oil prices. We applied the ARMA-EGARCH-ARJI model to characterize the global oil price volatility and verified that it contains asymmetric clustering volatility and dynamic jumps. By using the ARMA-EGARCH-X model, we investigated the impacts of oil price jumps on the transportation sector successively considering the hysteresis and asymmetry. We found that the impacts of oil price changes on China’s transportation sector mainly come from unexpected shocks, in which the spillover effect of oil price volatility stems from the jump component rather than the clustering volatility. Hysteresis exists in the risk spillovers of oil price jumps on sector volatility. Furthermore, the sector’s responses to the jump shocks exhibit the asymmetric effect, that the inhibitory effect of the downward jumps on the sector returns is stronger than that of the upward jumps. Finally, diversities are displayed in the impacts of oil price jumps on China’s five transportation subsectors. This study has practical significance for the transportation sector and provides implications for market participants and policy-makers.