Oil price uncertainty and Chinese stock returns: New evidence from the oil volatility index

Xingguo Luo and Shihua Qin

Finance Research Letters, 2017, vol. 20, issue C, 29-34

Abstract: This paper investigates the impact of oil price shocks and oil price volatility shocks on the Chinese stock market index and five sector returns. In addition to the realized volatility, the paper uses the CBOE crude oil volatility index (OVX) to proxy for the oil price volatility. The empirical results suggest that oil price shocks positively affect Chinese stock returns. More importantly, evidence indicates that the OVX shocks have significant and negative effects on the Chinese stock market while the impact of realized volatility shocks is negligible, especially after the recent financial crisis.

Keywords: Chinese stock market; Oil price shocks; Oil price volatility shocks; OVX (search for similar items in EconPapers)
JEL-codes: C40 G12 Q43 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (74)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:20:y:2017:i:c:p:29-34

DOI: 10.1016/j.frl.2016.08.005

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