Relationships between oil price shocks and stock market: An empirical analysis from China ☆

By Rong-Gang Cong, Yi-Ming Wei, J. Jiao, Ying Fan. 2008

676 citations recorded by the source corpus.

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

View Paper: https://www.semanticscholar.org/paper/bcd0e298749033b24d6a37ce21a900a154b58ebf

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Citations in the corpus

The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data (2014, background): “Filis (2010), Chen (2009), Miller and Ratti (2009), Park and Ratti (2008), Driesprong et al.”
Conditional correlations and volatility spillovers between crude oil and stock index returns (2010, neutral): “Cong et al. (2008) argue that oil price shocks do not have a statistically significant impact on the real stock returns of most Chinese stock market indices, except for the manufacturing index and some oil companies.”
Risk factors in oil and gas industry returns: International evidence (2011, background): “Following Basher and Sadorsky (2006), Nandha and Faff (2008) and Sadorsky (2008), we include OILP and OILN in a model to help test these effects: ri;t = αi + βLOCAL⋅LOCALi;t + βCURR⋅CURRENCYi;t + βOILP⋅OILPt + βOILN⋅OILNt + βVOLPOIL⋅VOLPOILt + βINTPRATE⋅INTPRATEPDIFFi;t + ui;t : ð4Þ 8 These measures”
Oil Price Uncertainty and Sectoral Stock Returns in China: A Time-Varying Approach (2015, result): “The exceptions are the studies by Cong et al. (2008) and Li et al. (2012), both using monthly data.”
Assessing the impacts of oil price fluctuations on stock returns in emerging markets (2012, result): “These results are however not corroborated by Maghyereh (2004) and Cong et al. (2008) who do not find any significant impact of oil prices on stock returns of 22 emerging markets and China respectively.”
Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries (2016, background): “On the other hand, some authors provide empirical evidence that oil price changes have little or no effects on stock market returns (Lescaroux and Mignon, 2008; Cong et al., 2008; Apergis and Miller, 2009; Al-Fayoumi, 2009 and Al Janabi et al., 2010).”
Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence (2018, background): “The literature also tries to identify whether oil prices exercise asymmetric effects on stock market returns (see, inter alia , Salisu and Isah, 2017; Jiménez-Rodríguez, 2015; Broadstock et al., 2014; Chen, 2010; Cong et al., 2008; Park and Ratti, 2008) 7 .”