Oil price uncertainty and sectoral stock returns in China : a time-varying approach

Caporale, Guglielmo Maria and Menla Ali, Faek and Spagnolo, Nicola (2014) Oil price uncertainty and sectoral stock returns in China : a time-varying approach. Centre for International Capital Markets discussion papers, 2014 (07). pp. 1-27. ISSN 1749-3412

[img]
Preview
Text
CentreForInternationalCapitalMarketsDiscussionPapers_2014-07_p01-27.pdf - Published Version

Download (838kB) | Preview
Official URL: http://www.londonmet.ac.uk/media/london-metropolit...

Abstract

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.

Item Type: Article
Uncontrolled Keywords: Centre for International Capital Markets discussion papers; CICM discussion papers; China; oil price uncertainty; sectoral stock returns
Subjects: 300 Social sciences > 330 Economics
Department: Guildhall School of Business and Law
Depositing User: Mary Burslem
Date Deposited: 16 Apr 2015 13:05
Last Modified: 17 Apr 2015 09:43
URI: http://repository.londonmet.ac.uk/id/eprint/373

Actions (login required)

View Item View Item