Relationships between oil price shocks and stock market: an empirical analysis from china
文献类型：期刊论文
| 作者 | Cong, Rong-Gang1,2; Wei, Yi-Ming1; Jiao, Jian-Lin3; Fan, Ying1 |
| 刊名 | Energy policy
 |
| 出版日期 | 2008-09-01 |
| 卷号 | 36期号:9页码:3544-3553 |
| 关键词 | Oil price shocks Chinese stock market Vector auto-regressive model |
| ISSN号 | 0301-4215 |
| DOI | 10.1016/j.enpol.2008.06.006 |
| 通讯作者 | Wei, yi-ming(ymwei@deas.harvard.edu) |
| 英文摘要 | This paper investigates the interactive relationships between oil price shocks and chinese stock market using multivariate vector auto-regression. oil price shocks do not show statistically significant impact on the real stock returns of most chinese stock market indices, except for manufacturing index and some oil companies. some "important" oil price shocks depress oil company stock prices. increase in oil volatility may increase the speculations in mining index and petrochemicals index, which raise their stock returns. both the world oil price shocks and china oil price shocks can explain much more than interest rates for manufacturing index. (c) 2008 elsevier ltd. all rights reserved. |
| WOS关键词 | FINANCIAL-MARKETS ; ENERGY SHOCKS ; TIME-SERIES ; UNIT-ROOT ; MACROECONOMY ; INFLATION ; RETURNS ; MODELS ; MONEY |
| WOS研究方向 | Energy & Fuels ; Environmental Sciences & Ecology |
| WOS类目 | Energy & Fuels ; Environmental Sciences ; Environmental Studies |
| 语种 | 英语 |
| WOS记录号 | WOS:000259592200033 |
| 出版者 | ELSEVIER SCI LTD |
| URI标识 | http://www.irgrid.ac.cn/handle/1471x/2390789 |
| 专题 | 中国科学院大学 |
| 通讯作者 | Wei, Yi-Ming |
| 作者单位 | 1.Chinese Acad Sci, IPM, Ctr Energy & Environm Policy Res, Beijing 100080, Peoples R China 2.Chinese Acad Sci, Grad Sch, Beijing 100080, Peoples R China 3.Hefei Univ Sci & Technol, Hefei 230009, Peoples R China |
| 推荐引用方式 GB/T 7714 | Cong, Rong-Gang,Wei, Yi-Ming,Jiao, Jian-Lin,et al. Relationships between oil price shocks and stock market: an empirical analysis from china[J]. Energy policy,2008,36(9):3544-3553. |
| APA | Cong, Rong-Gang,Wei, Yi-Ming,Jiao, Jian-Lin,&Fan, Ying.(2008).Relationships between oil price shocks and stock market: an empirical analysis from china.Energy policy,36(9),3544-3553. |
| MLA | Cong, Rong-Gang,et al."Relationships between oil price shocks and stock market: an empirical analysis from china".Energy policy 36.9(2008):3544-3553. |
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来源：中国科学院大学
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