The impact of oil price shocks on the risk-return relation in the Chinese stock market

Fenghua Wen, Minzhi Zhang, Jihong Xiao and Wei Yue

Finance Research Letters, 2022, vol. 47, issue PB

Abstract: This article contributes to the literature on the oil-stock nexus by examining the impact of the supply, demand, and risk shocks of oil prices on the risk-return relation in the Chinese stock market. We find that oil demand shock and oil risk shock rather than oil supply shock can Granger cause the stock risk-return relation. Further analysis based on regression models shows that oil demand shock and oil risk shock positively and negatively affect the stock risk-return relation, respectively. Especially, these significant effects are mainly presented in the post-financialization period of the oil market.

Keywords: Oil price shocks; Stock market; Risk-return relation; Oil financialization (search for similar items in EconPapers)
JEL-codes: C32 G12 Q43 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (15)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322001003

DOI: 10.1016/j.frl.2022.102788

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