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

被引：30

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.

引用

页数：7

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