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Relationships between oil price shocks and stock market: An empirical analysis from China

Författare:
Publiceringsår: 2008
Språk: Engelska
Sidor: 3544-3553
Publikation/Tidskrift/Serie: Energy Policy
Volym: 36
Nummer: 9
Dokumenttyp: Artikel i tidskrift
Förlag: Elsevier

Sammanfattning

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.

Nyckelord

  • Earth and Related Environmental Sciences

Övriga

Published
  • ISSN: 1873-6777

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