中国科学院机构知识库网格
Chinese Academy of Sciences Institutional Repositories Grid
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
DOI10.1016/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.

入库方式: iSwitch采集

来源:中国科学院大学

浏览0
下载0
收藏0
其他版本

除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。