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

Författare

  • Ronggang Cong
  • Shaochuan Shen

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.

Publiceringsår

2013

Språk

Engelska

Publikation/Tidskrift/Serie

Scientific World Journal

Dokumenttyp

Artikel i tidskrift

Förlag

Hindawi Limited

Ämne

  • Earth and Related Environmental Sciences

Status

Published

ISBN/ISSN/Övrigt

  • ISSN: 2356-6140