کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5083198 | 1477794 | 2017 | 15 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Causality between oil prices and the stock market in China: The relevance of the reformed oil product pricing mechanism
ترجمه فارسی عنوان
علیت بین قیمت نفت و بازار سهام در چین: اهمیت مکانیسم قیمت گذاری اصلاح یافته قیمت نفت
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
The refined oil pricing reform of March 27, 2013, was a major step toward the adoption of market-oriented pricing by making timelier, more frequent adjustments to domestic oil prices in China. However, the prior literature does not consider the impact of this reform in its assessment of the mean and risk dynamics between international oil prices and the Chinese stock market. To address this limitation, this paper employs the cross-correlation function (CCF) approach and reports evidence that this reform has led to a time-varying dimension in the dynamics of the mean and variance linkages between the international oil market and the Chinese stock market. The estimated results indicate that the causality-in-mean between the two markets strengthened after the reform of March 27, 2013, whereas the causality-in-variance almost disappeared after that date. Rigorous robustness analyses confirm these results, which can be useful to both investors and policy-makers.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Economics & Finance - Volume 48, March 2017, Pages 34-48
Journal: International Review of Economics & Finance - Volume 48, March 2017, Pages 34-48
نویسندگان
Elie Bouri, Qian Chen, Donald Lien, Xin Lv,