| ID | 143429 |
| Title Proper | Oil price uncertainty and sectoral stock returns in China |
| Other Title Information | a time-varying approach |
| Language | ENG |
| Author | Caporale, Guglielmo Maria ; Ali, Faek Menla ; Spagnolo, Nicola |
| Summary / Abstract (Note) | 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–February 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. |
| `In' analytical Note | China Economic Review Vol. 34; Jul 2015: p.311-321 |
| Journal Source | China Economic Review 2015-07 34 |
| Key Words | China ; Oil Price Uncertainty ; Sectoral Stock Returns |