Who affects who? Oil price against the stock return of oil-related companies: Evidence from the U.S. and China
Donald Lien and
International Review of Economics & Finance, 2020, vol. 67, issue C, 85-100
This paper applies the BEKK-GARCH model to construct a comparative analysis of the heterogeneous relationship between the oil prices and stock prices of oil-related firms in the US and China. We find the following results. First, the effects of oil prices on stock returns depend heavily on the subsector category of an oil firm. Second, the effect from stock returns to oil prices displays distinguished country-specific patterns. The stock returns of oil firms in the US affect oil price, whereas stock returns of oil companies in China have limited influence on the oil market. Third, compared to the US, fewer Chinese oil company stocks are subject to risk spillover from oil market, but more stocks transmit their risks to oil market.
Keywords: Oil price; Stock return; Oil industry supply chain; Country-specific characters (search for similar items in EconPapers)
JEL-codes: G12 G15 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:67:y:2020:i:c:p:85-100
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