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Relationships among Energy Price Shocks, Stock Market, and the Macroeconomy: Evidence from China

Cong, Ronggang LU and Shen, Shaochuan (2013) In Scientific World Journal
Abstract
This paper investigates the interactive relationships among China energy price shocks, stock market, and themacroeconomy using

multivariate vector autoregression.The results indicate that there is a long cointegration among them. A 1% rise in the energy price

index can depress the stock market index by 0.54% and the industrial value-adding growth by 0.037%. Energy price shocks also

cause inflation and have a 5-month lag effect on stock market, which may result in the stock market “underreacting.” The energy

price can explain stock market fluctuations better than the interest rate over a longer time period. Consequently, investors should

pay greater attention to the long-term effect of energy on... (More)
This paper investigates the interactive relationships among China energy price shocks, stock market, and themacroeconomy using

multivariate vector autoregression.The results indicate that there is a long cointegration among them. A 1% rise in the energy price

index can depress the stock market index by 0.54% and the industrial value-adding growth by 0.037%. Energy price shocks also

cause inflation and have a 5-month lag effect on stock market, which may result in the stock market “underreacting.” The energy

price can explain stock market fluctuations better than the interest rate over a longer time period. Consequently, investors should

pay greater attention to the long-term effect of energy on the stock market. (Less)
Please use this url to cite or link to this publication:
author
and
organization
publishing date
type
Contribution to journal
publication status
published
subject
in
Scientific World Journal
article number
171868
publisher
Hindawi Limited
external identifiers
  • wos:000317780800001
  • scopus:84877251745
  • pmid:23690737
ISSN
2356-6140
DOI
10.1155/2013/171868
language
English
LU publication?
yes
id
dc0f6697-e3fe-43b1-a8f8-da00d41501cb (old id 3738367)
date added to LUP
2016-04-01 13:41:18
date last changed
2020-05-20 02:09:58
@article{dc0f6697-e3fe-43b1-a8f8-da00d41501cb,
  abstract     = {This paper investigates the interactive relationships among China energy price shocks, stock market, and themacroeconomy using<br/><br>
multivariate vector autoregression.The results indicate that there is a long cointegration among them. A 1% rise in the energy price<br/><br>
index can depress the stock market index by 0.54% and the industrial value-adding growth by 0.037%. Energy price shocks also<br/><br>
cause inflation and have a 5-month lag effect on stock market, which may result in the stock market “underreacting.” The energy<br/><br>
price can explain stock market fluctuations better than the interest rate over a longer time period. Consequently, investors should<br/><br>
pay greater attention to the long-term effect of energy on the stock market.},
  author       = {Cong, Ronggang and Shen, Shaochuan},
  issn         = {2356-6140},
  language     = {eng},
  publisher    = {Hindawi Limited},
  series       = {Scientific World Journal},
  title        = {Relationships among Energy Price Shocks, Stock Market, and the Macroeconomy: Evidence from China},
  url          = {https://lup.lub.lu.se/search/ws/files/3532785/3738368.pdf},
  doi          = {10.1155/2013/171868},
  year         = {2013},
}