Please use this identifier to cite or link to this item: https://ah.nccu.edu.tw/handle/140.119/65962


Title: The Impact of Oil Price Shocks on the Returns of China’s Stock Market
Authors: 林祖嘉;方中柔
Lin, Chu-Chia;Fang, Chung-Rou;Cheng, Hui-Pei
Contributors: 經濟系
Keywords: Oil price shock;Stock market;BRIC;China
Date: 2010
Issue Date: 2014-05-12 15:51:58 (UTC+8)
Abstract: Although a lot of empirical research has studied the relationship between changes in oil price and economic activity, it is surprising that little research has been conducted on the relationship between oil price shocks and the BRIC (Brazil, Russia, India, and China). Therefore, this paper modifies the procedure of Kilian and Park (2009) and investigates how explicit structural shocks that characterize the endogenous character of oil price changes affect three BRICs’ stock-market returns, in order to fill this gap. From the empirical analysis, we find that the impact of oil price shocks on stock prices in three BRICs has mixed, it has partially in contrast to the effects on the U.S. and developed countries’ stock market. Firstly, we find that all shocks have no significant impacts on India’s stock returns. Additionally, in contrast to the early traditional literature that higher oil prices necessarily causes lower stock prices, both global and oil specified demand shocks have significantly positive impacts on Russia stock returns. However, the impact of oil price shocks on China stock returns has the mixed condition between Russia and India. This means that only oil specified demand shock has significantly positive effects, but both global supply and demand shocks have no significant impacts on China stock returns. The reason for the lack of significant impacts is that the positive expectation effect of China’s fast economic growth may be just offset by the negative effect of a precautionary demand driven effect. This result is also consistent with the previous empirical findings that the segmented and integrated three BRICs’ stock market is mixed, and it implies that the three BRICs’ stock market is “partially integrated” with the other stock markets and oil price shocks.
Relation: Emerging Markets Finance and Trade, Vol.50, No.5, pp.193-205
Data Type: article
Appears in Collections:[經濟學系] 期刊論文

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