Relationships between oil price shocks and stock market: An empirical analysis from China

被引：418

作者：

Cong, Rong-Gang ^{[1
,2
]}

Wei, Yi-Ming ^{[1
]}

Jiao, Jian-Lin ^{[3
]}

Fan, Ying ^{[1
]}

机构：

[1] Chinese Acad Sci, IPM, Ctr Energy & Environm Policy Res, Beijing 100080, Peoples R China

[2] Chinese Acad Sci, Grad Sch, Beijing 100080, Peoples R China

[3] Hefei Univ Sci & Technol, Hefei 230009, Peoples R China

来源：

ENERGY POLICY | 2008年 / 36卷 / 09期

关键词：

oil price shocks; Chinese stock market; vector auto-regressive model;

D O I：

10.1016/j.enpol.2008.06.006

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper investigates the interactive relationships between oil price shocks and Chinese stock market using multivariate vector auto-regression. Oil price shocks do not show statistically significant impact on the real stock returns of most Chinese stock market indices, except for manufacturing index and some oil companies. Some "important" oil price shocks depress oil company stock prices. Increase in oil volatility may increase the speculations in mining index and petrochemicals index, which raise their stock returns. Both the world oil price shocks and China oil price shocks can explain Much more than interest rates for manufacturing index. (C) 2008 Elsevier Ltd. All rights reserved.

引用

页码：3544 / 3553

页数：10

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