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| 1 |
ID:
186433
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| Summary/Abstract |
Growing concerns about long-run equilibrium in the oil market have focused on understanding the time path of oil consumption across countries. This study examines the convergence of oil consumption across the largest oil consumers. To this end, we employ the historical oil consumption data dating back to 1890 by benefiting from the newly proposed convergence concepts, including relative/club convergence and weak -convergence, in addition to the conventional β-convergence notion. The empirical results provide new and insightful findings. First, considering common factors in the dynamics of oil consumption leads to convergence. Second, the overall evidence of absolute convergence has been at work among countries mainly before the great depression 1890–1929, while divergence occurs after the mid of 1990s. Third, the divergence observed over the last decades persists even after accounting for either a relative or weak form of convergence, supporting the primary role of the current dynamics in world oil markets. Divergence calls for stricter energy transition policies. Moreover, the clustering algorithm identifies unique convergent clubs, indicating that a unified energy policy is not tenable.
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| 2 |
ID:
109908
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| Publication |
2012.
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| Summary/Abstract |
Using the most comprehensive weekly dataset of 'A' shares listed on the Chinese stock market, this paper examines short-term contrarian strategies under different market states from 1995-2010. We find statistically significant profits from contrarian strategies, especially during the period after 2007, when China (along with other countries) experienced an economic downturn following the worldwide financial crisis. Our empirical evidence suggests that: (1) no significant profit is generated from either momentum or contrarian strategies in the intermediate horizon; (2) after microstructure effects are adjusted for, contrarian strategies with only four to eight weeks holding periods based on the stocks' previous four to eight week's performance generate statistically significant profits of around 0.2% per week; (3) the contrarian strategy following a 'down' market generates higher profit than those following an 'up' market, suggesting that a contrarian strategy could be used as a shelter when the market is in decline. The profits following a 'down' market are robust after risk adjustment.
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