Oil Price Uncertainty and Sectoral Stock Returns in China: A Time-Varying Approach

By Guiglielmo Maria Caporale, Faek Menla Ali, Nicola Spagnolo. Social Science Research Network, 2015

166 citations recorded by the source corpus.

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-Febraury 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.

Subfields: Economics and Econometrics, Renewable Energy, Sustainability and the Environment

View Paper: https://www.semanticscholar.org/paper/392adfa9ff17996fa7b74944fb3fa906050f7983

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Citations in the corpus

Do high-frequency stock market data help forecast crude oil prices? Evidence from the MIDAS models (2019, background): “Based on the close relationship between crude oil markets and stock markets, many scholars have used stockmarket information to forecast crude oil prices (Kang and Ratti, 2013; Chen, 2014; Liu et al., 2015; Guglielmo et al., 2015; Drachal, 2016), and pointed out that the use of effective information”
Oil price volatility and stock returns in the G7 economies (2016, background): “Recently, Caporale et al. (2015) analyze the impact of oil price volatility on stock prices in China over the period January 1997 to February 2014 approaching oil volatility with a GARCH (1, 1) model.”