Impacts of oil price shocks on Chinese stock market liquidity

Xinwei Zheng and Dan Su

International Review of Economics & Finance, 2017, vol. 50, issue C, 136-174

Abstract: In this paper we investigate whether and how different oil price shocks affect the stock market liquidity in China. Our empirical results show that stock market liquidity only increases when the positive oil price shocks come from oil-specific demand side. When the oil price shocks are from oil supply side or the aggregate demand side, stock market liquidity negatively comoves with oil price.

Keywords: Stock market liquidity; Oil prices; Structural vector auto-regressive model (search for similar items in EconPapers)
JEL-codes: F36 G10 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 (19)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:50:y:2017:i:c:p:136-174

DOI: 10.1016/j.iref.2017.03.021

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