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dc.contributor.authorFang, Sheng
dc.contributor.authorLu, Xinsheng
dc.contributor.authorEgan, Paul Gerard
dc.identifier.citationFang , 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 .
dc.identifier.otherPURE: 252459083
dc.identifier.otherPURE UUID: 6f5c8527-30e7-4308-8c05-e95e9667a26a
dc.identifier.otherScopus: 85046741441
dc.identifier.otherWOS: 000431976700003
dc.description.abstractThis 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.
dc.relation.ispartofChina & World Economyen
dc.rightsCopyright © 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
dc.subjectChina’s stock market industriesen
dc.subjectInternational oil pricesen
dc.subjectRegime switchingen
dc.subjectStructural breaken
dc.subjectHB Economic Theoryen
dc.subjectEconomics, Econometrics and Finance(all)en
dc.subjectEnergy (miscellaneous)en
dc.titleReinvestigating the oil price-stock market nexus : Evidence from Chinese industry stock returnsen
dc.typeJournal articleen
dc.contributor.institutionUniversity of St Andrews.School of Economics and Financeen
dc.description.statusPeer revieweden

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