Relationships between oil price shocks and stock market: An empirical analysis from China |
| |
Authors: | Rong-Gang Cong Yi-Ming Wei Jian-Lin Jiao Ying Fan |
| |
Affiliation: | 1. Center for Energy and Environmental Policy Research, Institute of Policy and Management (IPM), Chinese Academy of Sciences (CAS), P.O. Box 8712, Beijing 100080, China;2. Graduate School of the Chinese Academy of Sciences, Beijing 100080, China;3. Hefei University of Science and Technology, Hefei 230009, China |
| |
Abstract: | This paper investigates the interactive relationships between oil price shocks and Chinese stock market using multivariate vector auto-regression. Oil price shocks do not show statistically significant impact on the real stock returns of most Chinese stock market indices, except for manufacturing index and some oil companies. Some “important” oil price shocks depress oil company stock prices. Increase in oil volatility may increase the speculations in mining index and petrochemicals index, which raise their stock returns. Both the world oil price shocks and China oil price shocks can explain much more than interest rates for manufacturing index. |
| |
Keywords: | Oil price shocks Chinese stock market Vector auto-regressive model |
本文献已被 ScienceDirect 等数据库收录! |
|