Testing the International Crude Oil Market Integration with Structural Breaks

As spread between the WTI and Brent crude oil price is widening after early 2011, it could be that the price relationship between these crude oil is changing. To see if such change affected the price linkages among the international crude oil markets, this study investigates if the world's major benchmark crude oil markets are integrated using the latest data and test the globalization hypothesis when effects from structural breaks are reflected in the test model. The study reveals that while the Brent and Dubai crude oil markets continue to have a long-run relationship, the WTI no longer have a long-run relationship with the international crude oil market.