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Oil shocks and their impact on energy related stocks in China

David Broadstock (), Hong Cao and Dayong Zhang ()

Energy Economics, 2012, vol. 34, issue 6, 1888-1895

Abstract: This paper contributes to the current literature by adopting time varying conditional correlation and asset pricing models to discover how the dynamics of international oil prices affect energy related stock returns in China. After conditioning for structural instability, the results show a much stronger relation following the 2008 financial crisis. We argue that this reflects the fact that investors in the Chinese stock market, especially for energy related stocks, are more sensitive to the shocks in international crude oil market.

Keywords: Oil prices; Energy related stocks; BEKK; Asset pricing; Structural break (search for similar items in EconPapers)
JEL-codes: G12 G15 (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:34:y:2012:i:6:p:1888-1895

DOI: 10.1016/j.eneco.2012.08.008

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