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Title: Oil price uncertainty and sectoral stock returns in China: A time-varying approach
Authors: Caporale, GM
Ali, FM
Spagnolo, N
Keywords: China;Oil price uncertainty;Sectoral stock returns
Issue Date: 2014
Publisher: Elsevier
Citation: China Economic Review, 2014
Abstract: This paper investigates the time-varying impact of oil price uncertainty on stock prices in China using weekly data on ten sectoral indices over the period January 1997-February 2014. The estimation of a bivariate VAR-GARCH-in-mean model suggests that oil price volatility affects stock returns positively during periods characterised by demand-side shocks in all cases except the Consumer Services, Financials, and Oil and Gas sectors. The latter two sectors are found to exhibit a negative response to oil price uncertainty during periods with supply-side shocks instead. By contrast, the impact of oil price uncertainty appears to be insignificant during periods with precautionary demand shocks.
Description: This article has been made available through the Brunel Open Access Publishing Fund.
ISSN: 1043-951X
Appears in Collections:Brunel OA Publishing Fund
Dept of Economics and Finance Research Papers

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