کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
976833 | 1480139 | 2015 | 12 صفحه PDF | دانلود رایگان |
• The wavelet transform and Vector auto-regression are incorporated to explore the oil–equity nexus from sector level.
• The impacts of the international crude oil prices shocks are different for sectors in different time horizons.
• The oil price shocks have more impact on Chinese sector stock indices in the medium and long terms.
The aim of this research is to investigate the multiscale dynamic linkages between crude oil price and the stock market in China at the sector level. First, the Haar à trous wavelet transform is implemented to extract multiscale information from the original time series. Furthermore, we incorporate the vector autoregression model to estimate the dynamic relationship pairing the Brent oil price and each sector stock index at each scale. There is a strong evidence showing that there are bidirectional Granger causality relationships between most of the sector stock indices and the crude oil price in the short, medium and long terms, except for those in the health, utility and consumption sectors. In fact, the impacts of the crude oil price shocks vary for different sectors over different time horizons. More precisely, the energy, information, material and telecommunication sector stock indices respond to crude oil price shocks negatively in the short run and positively in the medium and long runs, terms whereas the finance sector responds positively over all three time horizons. Moreover, the Brent oil price shocks have a stronger influence on the stock indices of sectors other than the health, optional and utility sectors in the medium and long terms than in the short term. The results obtained suggest implication of this paper as that the investment and policymaking decisions made during different time horizons should be based on the information gathered from each corresponding time scale.
Journal: Physica A: Statistical Mechanics and its Applications - Volume 434, 15 September 2015, Pages 13–24