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Oil Shocks and their Impact on Energy Related Stocks in China

David Broadstock (), Hong Cao and Dayong Zhang ()
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Hong Cao: Research Institute of Economics and Management (RIEM), Southwestern University of Finance and Economics, Sichuan, China

No 137, Surrey Energy Economics Centre (SEEC), School of Economics Discussion Papers (SEEDS) from Surrey Energy Economics Centre (SEEC), School of Economics, University of Surrey

Abstract: This paper contributes to the current literature by adopting dynamic 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; DCC; Asset Pricing; Structural Break. (search for similar items in EconPapers)
JEL-codes: G12 G15 (search for similar items in EconPapers)
Pages: 36 pages
Date: 2012-06
New Economics Papers: this item is included in nep-cwa and nep-ene
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Published in Energy Economics, 34(6), 2012, pp. 1888-1895. (Revised Version)

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https://repec.som.surrey.ac.uk/seeds/SEEDS137.pdf (application/pdf)

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Journal Article: Oil shocks and their impact on energy related stocks in China (2012) Downloads
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