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 |
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Schools and Departments: | University of Sussex Business School > Business and Management |
Depositing User: | Joy Blake |
Date Deposited: | 07 Dec 2017 12:04 |
Last Modified: | 02 Jul 2019 17:15 |
URI: | http://sro.sussex.ac.uk/id/eprint/71704 |
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