Relationships between oil price shocks and stock market: An empirical analysis from China
Författare
Summary, in 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.
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.
Publiceringsår
2008
Språk
Engelska
Sidor
3544-3553
Publikation/Tidskrift/Serie
Energy Policy
Volym
36
Issue
9
Dokumenttyp
Artikel i tidskrift
Förlag
Elsevier
Ämne
- Earth and Related Environmental Sciences
Status
Published
ISBN/ISSN/Övrigt
- ISSN: 1873-6777