Testing the Asymmetric Response of China’s Stock Returns to Oil Price Dynamics - Does Fear of COVID-19 Matter?

Joel Ede Owuru ()
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Joel Ede Owuru: Department of Economics, Augustine University, Nigeria

Asian Economics Letters, 2021, vol. 2, issue 3, 1-6

Abstract: This study investigates the response of Chinese stock returns to oil prices amidst the COVID-19 pandemic using both linear and nonlinear autoregressive distributed lag (ARDL) models. The results indicate that oil price and the COVID-19 Global Fear Index (GFI), respectively, affect stock returns positively and negatively in the short run. While oil price asymmetry matters, Chinese stock returns do not respond to oil price changes and GFI in the long run.

Keywords: nonlinear ardl; linear ardl; stock return; oil price; global fear index (search for similar items in EconPapers)
JEL-codes: G15 I10 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (1)

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