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

descriptionPublicationkeyboard_double_arrow_right Article , Journal 01 Sep 2008Publisher:Elsevier BVJournal:Energy Policy, volume 36, pages 3,544-3,553 (issn: 0301-4215,

Authors: Cong, Ronggang; Wei, Yi-Ming; Jiao, Jian-Ling; Fan, Ying;

doi: 10.1016/j.enpol.2008.06.006

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

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Abstract

This paper investigates the interactive relationships between oil price shocks and Chinese stock market using multivariate vector auto-regression. Oil price shocks 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" oil price shocks depress oil company stock prices. Increase in oil volatility may increase the speculations in mining index and petrochemicals index, which raise their stock returns. Both the world oil price shocks and China oil price shocks can explain much more than interest rates for manufacturing index.

Related Organizations

Hefei University
China (People's Republic of)
Chinese Academy of Sciences
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Chinese Academy of Sciences
China (People's Republic of)
Hefei University of Technology
China (People's Republic of)
Hefei University
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