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Relationships between oil price shocks and stock market: An empirical analysis from China

Cong, Ronggang LU (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.
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author
publishing date
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
2012-04-17 08:08:33
date last changed
2017-11-19 03:56:25
@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},
  volume       = {36},
  year         = {2008},
}