Extreme risk spillover between chinese and global crude oil futures

•The risk spillover between chinese and the global crude oil futures is studied.•VaR connectedness networks are built to measure upside and downside risk spillover.•China's crude oil futures behave as a net risk receiver in the global crude oil system.•Brent and WTI play the leading roles in risk transmission in the system.•Risk spillover presents time-varying feature and rises sharply by the COVID-19 pandemic. This paper investigates the risk spillover between China's crude oil futures and international crude oil futures by constructing upside and downside VaR connectedness networks. The findings show that China's crude oil futures behave as a net risk receiver in the global crude oil system, in which Brent and WTI play the leading roles in risk transmission in the system. The dynamic results indicate that the risk spillover between Chinese and international crude oil futures presents obvious time-varying characteristics and has risen sharply since the beginning of 2020, induced by the COVID-19 pandemic.