Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/102182 
Year of Publication: 
2014
Series/Report no.: 
CESifo Working Paper No. 4881
Publisher: 
Center for Economic Studies and ifo Institute (CESifo), Munich
Abstract: 
This paper investigates the time-varying impact of oil price uncertainty on stock prices in China using weekly data on ten sectoral indices over the period January 1997-Febraury 2014. The estimation of a bivariate VAR-GARCH-in-mean model suggests that oil price volatility affects stock returns positively during periods characterised by demand-side shocks in all cases except the Consumer Services, Financials, and Oil and Gas sectors. The latter two sectors are found to exhibit a negative response to oil price uncertainty during periods with supply-side shocks instead. By contrast, the impact of oil price uncertainty appears to be insignificant during periods with precautionary demand shocks.
Subjects: 
China
oil price uncertainty
sectoral stock returns
JEL: 
C32
Q43
Document Type: 
Working Paper
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