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Oil Price Uncertainty and Sectoral Stock Returns in China
Guglielmo Maria Caporale
Faek Menla Ali
Nicola Spagnolo
其他書名
A Time-varying Approach
出版
Univ., Center for Economic Studies
, 2014
URL
http://books.google.com.hk/books?id=iBl9oAEACAAJ&hl=&source=gbs_api
註釋
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.
