Reinvestigating the oil price-stock market nexus : Evidence from Chinese industry stock returns
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This paper investigates the influence of international oil prices on China’s stock market returns across twenty-nine different industries. It attempts to account for any structural breaks and nonlinearity in this relationship. The results find that the effect of changes in the international price of oil on stock returns differs substantially across industries. The stock returns of the coal, chemicals, mining and oil industries are found to be positively affected by crude oil price movements. Conversely, electronics, food manufacturing, general equipment, pharmaceuticals, retail, rubber and vehicle industries are found to be negatively affected by movements in the price of crude oil. The results of the estimations also suggest that the majority of Chinese industries have been significantly affected by oil prices since 2004. The influence of international oil prices on Chinese stocks was also found to have a stronger effect in the presence of high volatility, but the effect varies across industries.
Fang , S , Lu , X & Egan , P G 2018 , ' Reinvestigating the oil price-stock market nexus : Evidence from Chinese industry stock returns ' , China & World Economy , vol. 26 , no. 3 , pp. 43–62 . https://doi.org/10.1111/cwe.12242
China & World Economy
Copyright © 2018, Institute of World Economics and Politics, Chinese Academy of Social Sciences. Published by Wiley This work is made available online in accordance with the publisher’s policies. This is the author created, accepted version manuscript following peer review and may differ slightly from the final published version. The final published version of this work is available at https://doi.org/10.1111/cwe.12242
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