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

Guglielmo Maria Caporale, Faek Menla Ali and Nicola Spagnolo

China Economic Review, 2015, vol. 34, issue C, 311-321

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–February 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)
Date: 2015
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Citations: View citations in EconPapers (89)

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Related works:
Working Paper: Oil Price Uncertainty and Sectoral Stock Returns in China: A Time-Varying Approach (2014)
Working Paper: Oil Price Uncertainty and Sectoral Stock Returns in China: A Time-Varying Approach (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:chieco:v:34:y:2015:i:c:p:311-321

DOI: 10.1016/j.chieco.2014.09.008

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