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| 1 |
ID:
188543
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| Summary/Abstract |
Considering the close relationship between the automobile market and the oil market, as well as the increasing dependence on foreign oil in China, it is worth focusing on the impact of global oil price fluctuations on China's automobile markets. This paper investigates the impact of different fluctuations in the global oil market on China's automobile market returns. First, the ARMA-EGARCH-ARJI model is applied to describe the characteristics of global oil fluctuations. Then, we use three specific models to discuss the impact of the expected and unexpected global oil price shocks and the global oil price jumps and explore whether there are corresponding price jumps in the automobile markets. We find that there are asymmetric effects of the influences of the expected and unexpected global oil shocks. Moreover, there is a lag effect of the global oil price jumps on the automobile markets. In addition, global oil price jumps lead to ‘U-shaped’ responses in the automobile markets. In contrast to the literature, we introduce factors of price jumps into the subject market and the global oil market, and we discuss the effects of different types of global oil price shocks in detail, especially those concerning the influence of oil price jumps.
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| 2 |
ID:
127868
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| Publication |
2014.
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| Summary/Abstract |
This paper investigated the reaction of aggregate commodity market to oil price shocks and also explored the effects of oil price shocks on China's fundamental industries: metals, petrochemicals, grains and oilfats. We separated the volatilities of oil price into expected, unexpected and negatively expected categories to identify how oil prices influence bulk commodity markets. We contrasted the results between different periods and among classified indices, in order to discover the significant changes in recent years and the differences at an industry level. Our results indicate that the aggregate commodity market was affected by both expected and unexpected oil price volatilities in China. The impact of unexpected oil price volatilities became more complex after 2007. The metals and grains indices did not significantly respond to the expected volatility in oil prices, in contrast to the petrochemicals and oilfats indices. These results not only contribute to advancing the existing literature, but also merit particular attention from policy makers and market investors in China.
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