Relationships among Energy Price Shocks, Stock Market, and the Macroeconomy: Evidence from China
Författare
Summary, in English
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.
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.
Avdelning/ar
Publiceringsår
2013
Språk
Engelska
Publikation/Tidskrift/Serie
Scientific World Journal
Fulltext
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Dokumenttyp
Artikel i tidskrift
Förlag
Hindawi Limited
Ämne
- Earth and Related Environmental Sciences
Status
Published
ISBN/ISSN/Övrigt
- ISSN: 2356-6140