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 language | English |
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Pages (from-to) | 3544-3553 |
Number of pages | 10 |
Journal | Energy Policy |
Volume | 36 |
Issue number | 9 |
DOIs | |
Publication status | Published - Sept 2008 |
Externally published | Yes |
Keywords
- Chinese stock market
- Oil price shocks
- Vector auto-regressive model