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http://bura.brunel.ac.uk/handle/2438/9858
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DC Field | Value | Language |
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dc.contributor.author | Caporale, GM | - |
dc.contributor.author | Ali, FM | - |
dc.contributor.author | Spagnolo, N | - |
dc.date.accessioned | 2015-01-21T10:27:41Z | - |
dc.date.available | 2014-06-20 | - |
dc.date.available | 2015-01-21T10:27:41Z | - |
dc.date.issued | 2014 | - |
dc.identifier.citation | China Economic Review, 2014 | en_US |
dc.identifier.issn | 1043-951X | - |
dc.identifier.issn | http://www.sciencedirect.com/science/article/pii/S1043951X1400128X | - |
dc.identifier.uri | http://bura.brunel.ac.uk/handle/2438/9858 | - |
dc.description | This article has been made available through the Brunel Open Access Publishing Fund. | - |
dc.description.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. | en_US |
dc.language | eng | - |
dc.language.iso | en | en_US |
dc.publisher | Elsevier | en_US |
dc.subject | China | en_US |
dc.subject | Oil price uncertainty | en_US |
dc.subject | Sectoral stock returns | en_US |
dc.title | Oil price uncertainty and sectoral stock returns in China: A time-varying approach | en_US |
dc.type | Article | en_US |
dc.identifier.doi | http://dx.doi.org/10.1016/j.chieco.2014.09.008 | - |
dc.relation.isPartOf | China Economic Review | - |
dc.relation.isPartOf | China Economic Review | - |
pubs.publication-status | Accepted | - |
pubs.publication-status | Accepted | - |
pubs.organisational-data | /Brunel | - |
pubs.organisational-data | /Brunel/Brunel Staff by College/Department/Division | - |
pubs.organisational-data | /Brunel/Brunel Staff by College/Department/Division/College of Business, Arts and Social Sciences | - |
pubs.organisational-data | /Brunel/Brunel Staff by College/Department/Division/College of Business, Arts and Social Sciences/Dept of Economics and Finance | - |
pubs.organisational-data | /Brunel/Brunel Staff by College/Department/Division/College of Business, Arts and Social Sciences/Dept of Economics and Finance/Economics and Finance | - |
Appears in Collections: | Brunel OA Publishing Fund Dept of Economics and Finance Research Papers |
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Fulltext.pdf | 778.92 kB | Adobe PDF | View/Open |
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