Sectoral Responses of the Chinese Stock Market to International Oil Shocks

被引：30

作者：

Zhang, Dayong ^{[1
]}

Cao, Hong ^{[1
]}

机构：

[1] Southwestern Univ Finance & Econ, Res Inst Econ & Management, Chengdu, Peoples R China

来源：

EMERGING MARKETS FINANCE AND TRADE | 2013年 / 49卷 / 06期

基金：

中国国家自然科学基金;

关键词：

asymmetric response; Granger causality; oil price; sectoral stock returns; three-factor model; PRICE SHOCKS; EMPIRICAL-ANALYSIS; STRUCTURAL-CHANGE; ECONOMIC-ACTIVITY; RISK-FACTORS; MACROECONOMY; GROWTH; TESTS; EQUILIBRIUM; PARAMETER;

D O I：

10.2753/REE1540-496X490603

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We investigate the relationship between international oil shocks and the sectoral dynamics of the Chinese stock market. Our empirical results show that the behavior and response to international oil shocks by the Chinese stock market differ significantly from the behavior and responses of the European stock market as documented in the literature. In China, only the mining industry has a strong and consistent link with international oil shocks when systematic risk factors are controlled. There is no clear evidence of asymmetries in China's sectoral stock-oil relationship.

引用

页码：37 / 51

页数：15

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