کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5047471 | 1476267 | 2015 | 11 صفحه PDF | دانلود رایگان |
- We estimate the time-varying impact of oil price uncertainty on sectoral stock returns.
- We use a bivariate VAR-GARCH-in-mean model using weekly data from China.
- Oil price volatility affects stock returns during periods with demand-side shocks.
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.
Journal: China Economic Review - Volume 34, July 2015, Pages 311-321