Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/98407
Authors: 
Caporale, Guglielmo Maria
Ali, Faek Menla
Spagnolo, Nicola
Year of Publication: 
2014
Series/Report no.: 
DIW Discussion Papers 1394
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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