کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5064295 | 1476709 | 2016 | 42 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The heterogeneity dependence between crude oil price changes and industry stock market returns in China: Evidence from a quantile regression approach
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
مهندسی انرژی
انرژی (عمومی)
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
This paper explores the dependence between real crude oil price changes and Chinese real industry stock market returns based on the monthly data from 1994/03 to 2014/06. We address this issue using the quantile regression approach, enabling a more detailed investigation of structure and degree of dependence. Empirical results reveal that the reaction of market returns to crude oil is highly heterogeneous across conditional distribution of industry stock returns. Furthermore, there is evidence that this dependence is positive and exists only in recessions or bearish markets with low expected returns. The dependence at low quantiles is not limited to one market, but is a common feature across industries. Additionally, dependence also changes since the onset of structural breaks. We determine that Chinese industry stock and global crude oil markets have contagion in rare situations. Most cases do not demonstrate contagion.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Energy Economics - Volume 55, March 2016, Pages 30-41
Journal: Energy Economics - Volume 55, March 2016, Pages 30-41
نویسندگان
Huiming Zhu, Yawei Guo, Wanhai You, Yaqin Xu,