Relationships among Energy Price Shocks, Stock Market, and the Macroeconomy: Evidence from China
(2013) In The 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:
https://lup.lub.lu.se/record/3738367
- author
- Cong, Ronggang LU and Shen, Shaochuan
- organization
- publishing date
- 2013
- type
- Contribution to journal
- publication status
- published
- subject
- in
- The 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
- 2023-01-04 00:13:15
@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 = {{The Scientific World Journal}},
title = {{Relationships among Energy Price Shocks, Stock Market, and the Macroeconomy: Evidence from China}},
url = {{https://lup.lub.lu.se/search/files/3532785/3738368.pdf}},
doi = {{10.1155/2013/171868}},
year = {{2013}},
}