TY - JOUR
T1 - Who affects who? Oil price against the stock return of oil-related companies
T2 - Evidence from the U.S. and China
AU - Lv, Xin
AU - Lien, Donald
AU - Yu, Chang
N1 - Publisher Copyright:
© 2020 Elsevier Inc.
PY - 2020/5
Y1 - 2020/5
N2 - This paper applies the BEKK-GARCH model to construct a comparative analysis of the heterogeneous relationship between the oil prices and stock prices of oil-related firms in the US and China. We find the following results. First, the effects of oil prices on stock returns depend heavily on the subsector category of an oil firm. Second, the effect from stock returns to oil prices displays distinguished country-specific patterns. The stock returns of oil firms in the US affect oil price, whereas stock returns of oil companies in China have limited influence on the oil market. Third, compared to the US, fewer Chinese oil company stocks are subject to risk spillover from oil market, but more stocks transmit their risks to oil market.
AB - This paper applies the BEKK-GARCH model to construct a comparative analysis of the heterogeneous relationship between the oil prices and stock prices of oil-related firms in the US and China. We find the following results. First, the effects of oil prices on stock returns depend heavily on the subsector category of an oil firm. Second, the effect from stock returns to oil prices displays distinguished country-specific patterns. The stock returns of oil firms in the US affect oil price, whereas stock returns of oil companies in China have limited influence on the oil market. Third, compared to the US, fewer Chinese oil company stocks are subject to risk spillover from oil market, but more stocks transmit their risks to oil market.
KW - Country-specific characters
KW - Oil industry supply chain
KW - Oil price
KW - Stock return
UR - http://www.scopus.com/inward/record.url?scp=85077688175&partnerID=8YFLogxK
U2 - 10.1016/j.iref.2020.01.002
DO - 10.1016/j.iref.2020.01.002
M3 - Article
AN - SCOPUS:85077688175
SN - 1059-0560
VL - 67
SP - 85
EP - 100
JO - International Review of Economics and Finance
JF - International Review of Economics and Finance
ER -