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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. |
URI: | http://bura.brunel.ac.uk/handle/2438/9858 |
DOI: | http://dx.doi.org/10.1016/j.chieco.2014.09.008 |
ISSN: | 1043-951X http://www.sciencedirect.com/science/article/pii/S1043951X1400128X |
Appears in Collections: | Brunel OA Publishing Fund Dept of Economics and Finance Research Papers |
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