The impact of oil price shocks on the risk-return relation in the Chinese stock market

被引：21
|
作者：
Wen, Fenghua [1 ,2 ]
Zhang, Minzhi [1 ]
Xiao, Jihong [3 ]
Yue, Wei [4 ,5 ]
机构：
[1] Cent South Univ, Sch Business, Changsha 410083, Peoples R China
[2] Shanghai Lixin Univ Accounting & Finance, Sch Finance, Shanghai 201209, Peoples R China
[3] Nanjing Univ Sci & Technol, Sch Econ & Management, Nanjing 210094, Peoples R China
[4] Hunan Univ, Coll Finance & Stat, Changsha 410006, Peoples R China
[5] Hunan Univ, Changsha, Peoples R China
来源：
FINANCE RESEARCH LETTERS | 2022年 / 47卷
基金：
中国国家自然科学基金;
关键词：
Oil price shocks; Stock market; Risk-return relation; Oil financialization; VOLATILITY; UNCERTAINTY; INDEX;
D O I：
10.1016/j.frl.2022.102788
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This article contributes to the literature on the oil-stock nexus by examining the impact of the supply, demand, and risk shocks of oil prices on the risk-return relation in the Chinese stock market. We find that oil demand shock and oil risk shock rather than oil supply shock can Granger cause the stock risk-return relation. Further analysis based on regression models shows that oil demand shock and oil risk shock positively and negatively affect the stock risk-return relation, respectively. Especially, these significant effects are mainly presented in the post-financialization period of the oil market.
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页数：7
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