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

Rong Gang Cong, Yi Ming Wei*, Jian Lin Jiao, Ying Fan

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

478 Citations (Scopus)

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.

Original languageEnglish
Pages (from-to)3544-3553
Number of pages10
JournalEnergy Policy
Volume36
Issue number9
DOIs
Publication statusPublished - Sept 2008
Externally publishedYes

Keywords

  • Chinese stock market
  • Oil price shocks
  • Vector auto-regressive model

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Cong, R. G., Wei, Y. M., Jiao, J. L., & Fan, Y. (2008). Relationships between oil price shocks and stock market: An empirical analysis from China. Energy Policy, 36(9), 3544-3553. https://doi.org/10.1016/j.enpol.2008.06.006