Stock price synchronicity to oil shocks across quantiles: Evidence from Chinese oil firms
Cheng Peng (),
Xianghua Jia and
Economic Modelling, 2017, vol. 61, issue C, 248-259
This paper investigates behaviour of stock price synchronicity to oil shocks across quantiles for Chinese oil firms. The spillover effects of the oil market on a firm are segregated into firm-specific and market-wide information. First, our results report a higher level of synchronicity by dynamic conditional correlations than by R-square since the former better captures dynamic linear dependence. Second, we find strong evidence of size effect. In particular, stock price synchronicity is generally higher in large-cap firms than in small-cap ones. Oil shocks affect synchronicity in the upper quantiles differently based on firm size. Third, we also find that synchronicity responds to oil shocks significantly in extreme low quantiles, implying that shocks in the oil market are transmitted to Chinese oil firms via firm-specific information. Finally, we determine that oil shocks have little or no immediate impact on stock price synchronicity; instead, cumulative lagged effect is evident. This evidence highlights the lagging effect of spillover of oil shocks on Chinese oil firms.
Keywords: Stock price synchronicity; Oil shocks; Extreme quantiles; Size effect; Lagged effect (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:61:y:2017:i:c:p:248-259
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