  This paper investigates the cointegration between possible determinants of
crude oil futures prices during the COVID-19 pandemic period. We perform
comparative analysis of WTI and newly-launched Shanghai crude oil futures (SC)
via the Autoregressive Distributed Lag (ARDL) model and Quantile Autoregressive
Distributed Lag (QARDL) model. The empirical results confirm that economic
policy uncertainty, stock markets, interest rates and coronavirus panic are
important drivers of WTI futures prices. Our findings also suggest that the US
and China's stock markets play vital roles in movements of SC futures prices.
Meanwhile, CSI300 stock index has a significant positive short-run impact on SC
futures prices while S\&P500 prices possess a positive nexus with SC futures
prices both in long-run and short-run. Overall, these empirical evidences
provide practical implications for investors and policymakers.
