Relationships between oil price shocks and stock market: An empirical analysis from China
(2008) In Energy Policy 36(9). p.3544-3553- Abstract (Swedish)
- Abstract in Undetermined
This paper investigates the interactive relationships between oilpriceshocks and Chinese stock market using multivariate vector auto-regression. Oilpriceshocks 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” oilpriceshocks depress oil company stockprices. Increase in oil volatility may increase the speculations in mining index and petrochemicals index, which raise their stock returns. Both the world oilpriceshocks and Chinaoilpriceshocks can explain much more than interest rates for manufacturing index.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/2439735
- author
- Cong, Ronggang LU
- publishing date
- 2008
- type
- Contribution to journal
- publication status
- published
- subject
- in
- Energy Policy
- volume
- 36
- issue
- 9
- pages
- 3544 - 3553
- publisher
- Elsevier
- external identifiers
-
- scopus:48949085609
- ISSN
- 1873-6777
- DOI
- 10.1016/j.enpol.2008.06.006
- language
- English
- LU publication?
- no
- id
- 9147b6a8-bd07-4b73-9ea6-ebb81aad9d90 (old id 2439735)
- date added to LUP
- 2016-04-01 14:25:04
- date last changed
- 2022-04-22 02:56:50
@article{9147b6a8-bd07-4b73-9ea6-ebb81aad9d90,
abstract = {{<b>Abstract in Undetermined</b><br/><br>
This paper investigates the interactive relationships between oilpriceshocks and Chinese stock market using multivariate vector auto-regression. Oilpriceshocks 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” oilpriceshocks depress oil company stockprices. Increase in oil volatility may increase the speculations in mining index and petrochemicals index, which raise their stock returns. Both the world oilpriceshocks and Chinaoilpriceshocks can explain much more than interest rates for manufacturing index.}},
author = {{Cong, Ronggang}},
issn = {{1873-6777}},
language = {{eng}},
number = {{9}},
pages = {{3544--3553}},
publisher = {{Elsevier}},
series = {{Energy Policy}},
title = {{Relationships between oil price shocks and stock market: An empirical analysis from China}},
url = {{http://dx.doi.org/10.1016/j.enpol.2008.06.006}},
doi = {{10.1016/j.enpol.2008.06.006}},
volume = {{36}},
year = {{2008}},
}