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Autoren: 
Caporale, Guglielmo Maria
Ali, Faek Menla
Spagnolo, Nicola
Datum: 
2014
Reihe/Nr.: 
CESifo Working Paper 4881
Zusammenfassung: 
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.
Schlagwörter: 
China
oil price uncertainty
sectoral stock returns
JEL: 
C32
Q43
Dokumentart: 
Working Paper

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