How oil price and exchange rate affect stock price in China using Bayesian Quantile_on_Quantile with GARCH approach

Hao Wen Chang and Tsangyao Chang

The North American Journal of Economics and Finance, 2023, vol. 64, issue C

Abstract: We revisit the links of real exchange rate, oil price and stock market price for China using Bayesian Multivariate Quantile_on_Quantile with GARCH approach over the period of September 14, 2001 to June 17, 2022 (a total of 4051 days). Results indicate both the links between stock price and oil price and between stock price and exchange rate varying under different combinations of quantiles. GARCH model also indicate that yesterday news and persistence measures varying with current conditional variance under different quantiles. We further estimate half-life of a shock to our whole markets and find out the half-life of a shock range from 0.415 to 4.015 days. Result not found in previous study. Our study has important policy implications for the investors, practitioners, and the government.

Keywords: Stock price; Exchange rate; Oil price, Bayesian; Quantile_on_Quantile; GARCH (search for similar items in EconPapers)
JEL-codes: C11 C21 F31 G11 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940823000025

DOI: 10.1016/j.najef.2023.101879

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