Sectoral Responses of the Chinese Stock Market to International Oil Shocks
Dayong Zhang () and
Emerging Markets Finance and Trade, 2013, vol. 49, issue 6, 37-51
We investigate the relationship between international oil shocks and the sectoral dynamics of the Chinese stock market. Our empirical results show that the behavior and response to international oil shocks by the Chinese stock market differ significantly from the behavior and responses of the European stock market as documented in the literature. In China, only the mining industry has a strong and consistent link with international oil shocks when systematic risk factors are controlled. There is no clear evidence of asymmetries in China's sectoral stock-oil relationship.
Keywords: asymmetric response; Granger causality; oil price; sectoral stock returns; three-factor model (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:mes:emfitr:v:49:y:2013:i:6:p:37-51
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