Oil price uncertainty and Chinese stock returns: New evidence from the oil volatility index

被引：117
|
作者：
Luo, Xingguo [1 ,2 ]
Qin, Shihua [1 ]
机构：
[1] Zhejiang Univ, Coll Econ, Hangzhou 310027, Zhejiang, Peoples R China
[2] Zhejiang Univ, Acad Financial Res, Hangzhou 310027, Zhejiang, Peoples R China
来源：
FINANCE RESEARCH LETTERS | 2017年 / 20卷
基金：
中国国家自然科学基金;
关键词：
Chinese stock market; Oil price shocks; Oil price volatility shocks; OVX; EUROPEAN COUNTRIES; EMPIRICAL-ANALYSIS; MARKETS; SHOCKS;
D O I：
10.1016/j.frl.2016.08.005
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper investigates the impact of oil price shocks and oil price volatility shocks on the Chinese stock market index and five sector returns. In addition to the realized volatility, the paper uses the CBOE crude oil volatility index (OVX) to proxy for the oil price volatility. The empirical results suggest that oil price shocks positively affect Chinese stock returns. More importantly, evidence indicates that the OVX shocks have significant and negative effects on the Chinese stock market while the impact of realized volatility shocks is negligible, especially after the recent financial crisis. (C) 2016 Elsevier Inc. All rights reserved.
引用
收藏
页码：29 / 34
页数：6
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