Oil Price Uncertainty and Sectoral Stock Returns in China: A Time-Varying Approach

Guglielmo Maria Caporale, Faek Menla Ali and Nicola Spagnolo

No 1394, Discussion Papers of DIW Berlin from DIW Berlin, German Institute for Economic Research

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.

Keywords: China; Oil price uncertainty; Sectoral stock returns (search for similar items in EconPapers)
JEL-codes: C32 Q43 (search for similar items in EconPapers)
Pages: 25 p.
Date: 2014
New Economics Papers: this item is included in nep-cna, nep-ene and nep-tra
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Citations: View citations in EconPapers (7)

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Related works:
Journal Article: Oil price uncertainty and sectoral stock returns in China: A time-varying approach (2015)
Working Paper: Oil Price Uncertainty and Sectoral Stock Returns in China: A Time-Varying Approach (2014)
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