Asymmetric impact of oil prices on stock returns in Shanghai stock exchange: Evidence from asymmetric ARDL model

被引：32
|
作者：
Khan, Muhammad Kamran [1 ]
Teng, Jian-Zhou [1 ]
Khan, Muhammad Imran [1 ]
机构：
[1] Northeast Normal Univ, Sch Econ, Changchun, Jilin, Peoples R China
来源：
PLOS ONE | 2019年 / 14卷 / 06期
关键词：
ECONOMIC-ACTIVITY; MARKET; SHOCKS; VOLATILITY; RISK; COUNTRIES; CHINA; NEXUS;
D O I：
10.1371/journal.pone.0218289
中图分类号：
O [数理科学和化学]; P [天文学、地球科学]; Q [生物科学]; N [自然科学总论];
学科分类号：
07 ; 0710 ; 09 ;
摘要：
This study scrutinized the asymmetric impact of oil prices on stock returns in Shanghai stock exchange with data (January 2000 to December 2018) by using asymmetric ARDL model. The examined results of asymmetric autoregressive distributed lag model indicate that cointegration exists between the oil prices and the stock returns. Results of asymmetric autoregressive distributed lag model confirm that both in the long run and the short run increase in oil prices have a negative impact on the stock returns of Shanghai stock exchange while decrease in the oil prices has a positive impact on the stock returns. The examined results of this study recommend that oil prices dynamically contribute incompetence in stock prices in such a way that impact the profits of investors in stock market.
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页数：14
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