Oil price uncertainty and sectoral stock returns in China: A time-varying approach

Caporale, Guglielmo Maria, Menla Ali, Faek and Spagnolo, Nicola (2014) Oil price uncertainty and sectoral stock returns in China: A time-varying approach. China Economic Review, 34. pp. 311-321. ISSN 1043-951X

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Abstract

This paper investigates the time-varying impact of oil price uncertainty on stock prices in China using weekly data on ten sectoral indices over the period January 1997-February 2014. The estimation of a bivariate VAR-GARCH-in-mean model suggests that oil price volatility affects stock returns positively during periods characterised by demand-side shocks in all cases except the Consumer Services, Financials, and Oil and Gas sectors. The latter two sectors are found to exhibit a negative response to oil price uncertainty during periods with supply-side shocks instead. By contrast, the impact of oil price uncertainty appears to be insignificant during periods with precautionary demand shocks. © 2014.

Item Type: Article
Schools and Departments: School of Business, Management and Economics > Business and Management
Depositing User: Joy Blake
Date Deposited: 07 Dec 2017 12:04
Last Modified: 07 Dec 2017 12:04
URI: http://sro.sussex.ac.uk/id/eprint/71704

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