کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7350280 | 1476689 | 2018 | 36 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Asymmetric impacts of oil price uncertainty on Chinese stock returns under different market conditions: Evidence from oil volatility index
ترجمه فارسی عنوان
اثرات نامتقارن عدم قطعیت قیمت نفت در بازده سهام چینی تحت شرایط بازار های مختلف: شواهد از شاخص نوسان نفت
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
مهندسی انرژی
انرژی (عمومی)
چکیده انگلیسی
The crude oil volatility index (OVX) is a direct and more accurate measure of oil price uncertainty. This paper uses this kind of implied volatility index of oil prices to investigate the impacts of oil price uncertainty on the aggregate and sectoral stock returns in China. This issue is resolved by using a quantile regression, which can provide a more detailed examination under different market conditions. Meanwhile, the asymmetric effects of uncertainty shocks are also examined by using the positive and negative changes of the OVX. Furthermore, we assess whether the reform of March 27, 2013 affected the OVX-stock nexus since this reform was a major step to relax the control of domestic oil prices in China. Our results reveal that OVX changes mainly show significantly negative effects on the aggregate and sectoral stock returns in the bearish market. In particular, these effects depend largely on the positive shocks of the OVX rather than the negative shocks of the OVX. Moreover, the reform of March 27, 2013 decreased the impacts of the positive OVX shocks on Chinese stock returns.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Energy Economics - Volume 74, August 2018, Pages 777-786
Journal: Energy Economics - Volume 74, August 2018, Pages 777-786
نویسندگان
Jihong Xiao, Min Zhou, Fengming Wen, Fenghua Wen,