The Impact of International Crude Oil Prices on Energy Stock Prices - Evidence From China

Mengting Jiang and Dongmin Kong ()
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Dongmin Kong: School of Economics, Huazhong University of Science and Technology, China

Energy RESEARCH LETTERS, 2021, vol. 2, issue 4, 1-4

Abstract: Based on a vector autoregressive model and a dynamic conditional correlation generalized autoregressive conditional heteroskedasticity model, this study explores the relation between the international crude oil market and the Chinese energy stock market. The findings suggest a positive one-way spillover effect of international crude oil returns on China’s energy stock returns. Furthermore, this correlation between the two markets is time varying.

Keywords: International oil price; energy stock market; dcc-garch; china (search for similar items in EconPapers)
JEL-codes: N70 N75 Q41 Q47 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (6)

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