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Oil price uncertainty and sectoral stock returns in China: A time-varying approach
journal contribution
posted on 2023-06-09, 09:07 authored by Guglielmo Maria Caporale, Faek Menla AliFaek Menla Ali, Nicola SpagnoloThis 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.
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- Published
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- Published version
Journal
China Economic ReviewISSN
1043-951XPublisher
ElsevierExternal DOI
Volume
34Page range
311-321Department affiliated with
- Business and Management Publications
Full text available
- Yes
Peer reviewed?
- Yes
Legacy Posted Date
2017-12-07First Open Access (FOA) Date
2017-12-07First Compliant Deposit (FCD) Date
2017-12-07Usage metrics
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